em dash

A couple of newbie questions

Here's a few things that have been on my mind lately.

If using the European en dash style in text, what should be used for breaks of thoughts and interruptions – en or em dashes?

How do you deal with acronyms in italicized passages if you've been using small caps throughout the text and, like in most fonts, you don't have italic small caps?

Speaking of small caps, is there a special case when they begin a sentence (inside a paragraph)?