It is true that you can import data into Microsoft Dynamics CRM Online.
It is true that you can setup complex integration with Microsoft Dynamics CRM Online.
It is true that you are not the first person to do this nor the first company or complex Enterprise or complex small business environment.
When you need to get started it is; however, helpful to have a service that supports getting you started. Needless to say Microsoft now offers the DATA LOADER SERVICE for CRM Online.
There are two great blog posts on this service written by the team!