nLite will actually remove components altogether so in the end you have a more slender XP install. While turning services and such off will save resources you'll still have a fairly large OS footprint.
By using nLite you only keep in there what you need and it's a wizard style interface which walks you through each step and allows you to set things up for an automated install plus it lets you add drivers in as well so you don't have to fart about afterwards. Essentially, you can make Windows how you want it, taking out or leaving in what you want.
The link for the download is http://www.softpedia.com/get/System/OS- ... Lite.shtml
You do it all within Windows and then burn a new ISO to use.
As for starting HS automatically you can do the usual adding a shortcut to the Startup folder and if you autohide the Taskbar and have a black desktop with no icons you won't see much of Windows however if you want complete hiding then shelling is the way to go. There are many ways of doing it (there's a way on the travelling drive but I haven't looked at that), the one I use as I mentioned is Talisman, ok it cost $35 to get a full copy but it's reasonably easy to learn just by poking around and you can switch from shell mode back to Windows if something goes wrong simply by a right click menu.
I know some shellers can be bitches and induce cold sweats but I find Talisman to be very good and helpful. So in theory you could use that to shell Windows and have the shortcut to HS in startup so all you see if anything is the shell which bears no resemblance to Windows.
The Stardock Bootskin is dead easy, install the bugger then select your bootscreen. It's fairly straightforward to create a custom bootskin, a little fiddly but not that hard. A tutorial for creating one can be found at http://www.wincustomize.com/article/97764
All I would add to that is if you are doing a boot screen for a wide screen monitor then you'll want to squash the image so it's skinnier by about 25% before saving as the 16:9 or 16:10 ratio doesn't get recognised and you end up with a stretched image.
Hope that is sort of helpful?