You unzip GMEdit somewhere and open a project through the menu. That’s kind of the whole setup. If you keep both GMEdit and GMS2/GM2022+ open at once, ticking “automatically reload changed files” in GM’s Preferences is a good idea. In GM:S 1, it’s a good idea to not open the same resources in GMEdit and GameMaker because the IDE will overwrite the external changes when saving the project.
The wiki describes the syntax extensions and how everything works. Devlog is a good sample of Cool Things as the noteworthy additions are usually featured in the first paragraphs.
Not sure if anyone made video tutorials.