1: You must find image/mask/map data with *georeferencing* information intact. This requires it be in a format that has georeferencing data, and that georef data be embedded in it. Most data from the USGS meets these criteria.
2: For vector data (most anything that is not height or aerial photos will be vector), you need to convert it to raster for TG to use it, as Ryan said. The caveat is that you must convert it *and maintain the goereferencing data*. This means converting to a common format such as GeoTIFF, and using a conversion program that will keep the georef data in the file.
3: This is the easy part. If you've done all the rest correctly, you have data that has embedded info to align it automatically. Just bring it into TG with a Geog Image Map Shader and it should align with any data of the same area that you have brought in with a Geog Heightfield Load.
So the trickiest bit of all this is stuff that unfortunately needs to be done outside TG. Global Mapper is great software for this, but fairly expensive and not Mac-compatible last I looked. There are other less friendly/easy options that are free and cross-platform, possibly Landserf, GRASS GIS, others...
- Oshyan