So, I could return this device, find a new 3DS in the box that has 9.2, then I could setup cfw and install whatever games I want? Yes with the Old 3DS or 2DS not the N3DSXL model if you want a N3DSXL you can use this thread to find one though it's become very difficult
http://gbatemp.net/threads/n3ds-xl-firmware-by-version-number.381479/
How do I find games in CIA format? I cant mention or link the site directly but try
searching google for 3DS ROMS the 4th link is what your looking for and go to the CIA section.
Are they installed to an SD card? Yes once installed you can delete the CIA from the SD card.