Warlocks have many great talents, and there is lots of room for customizing your spec. Consequently there are many viable hybrid builds, each requiring a different play style. Affliction focuses on dots. Typical demon choice for this style is imp. Even though your crit chance is lower than that of destruction warlocks, you'll want to have improved shadow bolt.
Most epic gear items are equipped with one or more gem slots. The downside of gems is that they cannot be removed once they are placed into a socket; however they can be overwritten by another, destroying the original gem in the process. They can be placed into a socket by shift-right-clicking on the gear item. You will then see the empty gem socket, and you can simply drag and drop the gem from your inventory to the socket. Be aware that once your gems are socketed, you will have to destroy them in order to store a new gem there.
Spell penetration reduces the target's resistance to your spells; it is a different mechanic from spell hit rating. Spell penetration only works against targets with resistances , and will not reduce resistances below zero. Due to its implementation, it is primarily a PvP-oriented stat. Spell penetration typically is intended to help casters against players PvP who wear resistance gear or are buffed with extra resistance, such as Mark of the Wild.