Not really a guide, buthere you go
I agree, the whole how to setup part is not too comprehensive. I advice to use the planner to teach yourself the basics (at least that's what I have done)
Taking a look to the list of good reactors can also help.
In a nutshell: All cooling comes from within the reactor. Cells produce heat depending on how often they pulse (by having neighbouring cells or reflectors), and try to donate the heat to adjacent components. if they can't, the heat goes to the reactor hull.
Virtually all other components try to redistribute the heat and to dissipate them.
Heat exchangers primarily transfer heat around. there are four kinds, all with small differences in how much heat they switch and such.
Heat vents are cooling parts. they dissipate every tick a certain amount of heat. again, some are more useful than others and all have their speciality.
Condensators are basically single use coolants. they always have to be replaced after use (and are in that way a very very expensive option)
Coolant cells are more or less batteries for heat. they merely store the heat.
Plating just increases the Max heat level and decrease the explosion force in case of a meltdown.
For more detailed information on every item, see the wiki