Maybe a dumb question but I'm still fairly new to the plane thing. When directions call to "wick" what exactly does this mean? I understand that you use CA glue to do this but do you just put a thin layer of CA in and let it dry or do you put the CA in and then insert the set screw and let the glue dry around it?

When you drop CA on balsa, the wood absorbs the glue. If you look carefully you can see the wood "wick" the CA into it. For example, when you insert hinges into slots and you apply the CA(apply CA after you have the hinges in the slots they go in) the CA will "wick" into the slot and the hinges, because the wood and the hinges themselves are porous and absorb the CA before it begins to cure(which is pretty darn fast). Hope that clears it up for ya!

Wick generally refers to the CA just soaking in and drying on it's own. Balsa will wick the thin CA in deep if you just set a drop on it. I have often seen this used with regard to CA hinges since they will wick the CA into them when you put a few drops on to set the control surface hinges.

Exactly. The process is technically "capillary action". It is the same process by which trees get absorbed water from the roots to the top of the tree, paper towels do their "picker upper" thing and how the "wick" of an oil lamp gets oil from the reservoir to the flame. Hence the term.

When you dunk you cookie in the milk...the milk "wicks" up into the cookie, yum!

I'm assuming you need to harden the balsa where a screw will be inserted.
To answer this part of your question, insert the screw, remove the screw, apply THIN CA to the hole. Let the CA fully cure before re-inserting the screw or you'll never get it out later if you have to.