Does a workflow just create a script? i.e. If I create a workflow that sets the memo field to "testing" when creating a Sales Order... When I start a new Sales Order, is there a script file that has this workflow written in a script? If so, how would I find that from the browser?

As far as I know only if you have created a custom action script you would be able to get a file script (just a user event for example and this would be just for one step not for the complete workflow). Otherwise you only have the visual wizard with the steps, flows and states.

I don't think so. I force myself to use workflows when it's appropriate, but I wish I could step through the WF execution.