Do I just unzip my mods into the data folder?

This is the first time I have used mods in a FO game so I am kinda in the dark, and all the sites seems to think you should already know this information.

Probably the best way to install mods is with http://newvegasnexus.com/downloads/file.php?id=35003.

After installing the program (which can be confusing, check the documentation in the download found in Mopy\Wyre Bash.html) and running ityou will have a folder called Fallout New Vegas Mods alongside your fallout new vegas folder (in Steam\steamapps\common). Save the downloaded mods, in their zip/rar/7z format, into Fallout New Vegas Mods\Bash Installers and then run Wyre Flash (Mopy\Wyre Bash Launcher.pyw) and under the installers tab you will see all the mods you saved into that file. From here it's very easy to install or uninstall mods.

Alternatively, you can use http://newvegasnexus.com/downloads/file.php?id=36901 (or GeMM as it seems to want to be called) to install mods that are downloaded in .fomod format. I don't think any New Vegas mods will be found in that format for quite some time though.

Edit: The documentation for Wyre Flash refers a lot to Oblivion, and you will need to download Wyre Python from the TESNexus link in the installation steps mentioned in the doc. Just a heads up that you do need that even though its download page is on a site for a different games mods.