As you've mentioned SFDC I'm answeing with this in mind
1. Yes, you create the fields in SFDC and then at the next sync they are created in Marketo. You may have to enable fields as constraints and triggers by going to Admin -> Salesforce -> Object Sync -> Edit visible fields.
See here2. The relationship is managed on the SFDC side.
3. Any more details you can share? The custom objects and it's fields will be available as a filter in a smart campaign. So you can segment based on what lead has custom object X where custom object field A = 123.