Where can I set the prefix for the SO and Invoice ?

setup>company>rename records (something like that)

Setup > Company > Set Up Auto-Generated Numbers > Document Numbers (Prefix)

Good. One more question. The SO number is coming from an in-house software. When I import the data, they want to keep the SO number. Can I assign the SO number when I create an SO ?

If you "allow override" then yes.

Good. Where do I go to set the "Allow Override" ?