Spermicide is a decent backup method. I would not recommend it as your sole method of birth control due to its high failure rate.
Yes, you insert the spermicide before sex. Make sure you read the directions. The one that I used had to be inserted 15 minutes before sex.
The first time I used it, I did have some burning. I did not have burning after that first time though. After a couple of weeks of use, I got what seemed to be a urinary tract infection or something similar. Not sure if the two were related or if it was coincidence. It cleared up on its own after three miserable weeks, and I have not used the spermicide since.