I found it easier to use the same name, but, regardless, it is easy to set up aliases in PT so that it will reflect your stats from different sites regardless if your screenames are the same or different.

Edit: Regarding your last question, yes, you can filter different sites and buy limit levels fairly easily. Just remember, that until you have at least 10K total hands in PT, your stats do not mean much. That being said, it is excellent at helping you review your play after sessions to look for leaks.

I also recommend you purchase Poker Ace HUD as well so that you can see your opponents stats as you play.