Phew, you're welcome. It's always a relief when it's something that easy.
The project type has nothing to do with SFML. SFML never creates a console for you; that's Visual Studio. So yes it would be a very good idea to make a blank project so you can wean yourself from the console.
Any executable that dynamically links to any library must--on Windows--be adjacent to the dlls for that library in the filesystem (or the dlls have to be located in the appropriate system folders), so yes you do have to copy the dlls there for every project. You also need to distribute the dlls with your executable for anyone else to be able to run the program. This applies to all dynamically linked libraries; SFML is no exception.
Note that you can statically link SFML with the exception of the external audio libs it uses (openal and sndfile), so that can cut the number dlls down dramatically.
