There is no best version to tell you the truth, I have the external, not slim one and it works beautifully. Whether you want it as an external device or not is completely up to you - I prefer external so that I can still have my drive in a usable condition.
If you look closely you'll see that Lotharek already has cased options. The case itself is nothing to write home about, but is very functional and sturdy - I have had mine for years now and there's not a scratch on it.
A dsk file is a dump of all the contents of a physical disk in a single file. You can read all the gory details here:
http://www.cpcwiki.eu/index.php/Format:DSK_disk_image_file_format but you really don't need to.
A very easy to way to create a blank dsk is here:
http://www.cpcwiki.eu/index.php/ManageDsk . Just create one and make a hundred copies of it

So, how does this work? The HxC is, as it says right on the tin, a floppy drive emulator. For the machine it's just a disk drive, no more no less. But instead of accepting physical disks, it works with disk images (in the case of the CPC, dsk files)*. It's got a nice simple interface** with its buttons through which you can 'load' a specific disk image, which is like inserting a physical disk into a disk drive.
Just a word of warning, the HxC can't read dsk files directly, you must first convert them to its own format (HFE). The tools, as well as very useful docs, can be found here:
http://hxc2001.free.fr/floppy_drive_emulator/Hope that helped!
*the HXC works with mostly everything out there so if you get one it'll work with many other machines as well.
* though there are interfaces running on the CPC itself, probably a much better way to do things