You're asking two different things. If you want a quick and dirty introduction to hexadecimal hacking, at least for what most people do, check my signature. If you want to do some serious hacking, you'll want a program that helps you (ask someone like ronnen to tell you which one to grab).
On the flip side, if you want to edit palettes with the Caravan, all you need to do is first export the sprite, open the sprite in a graphical editing program that let's you edit palettes of images directly (I use iDraw, but Irfanview I think also works). Then edit the palette (don't change the image at all - just change the colors that are provided in the palette -- don't add new colors either, just change them). After you have colors you like, just import the image back into the Caravan and it'll figure out the new palette.
That second part sounds complicated, but once you do it once it's really easy. Just export the image, edit the image's palette using some graphical editing program, and then re-import it back into the Caravan.