On this page you can find frequently asked questions on: "Guitar Wireless Systems".
Once the system has been configured and any potential interference problems eliminated, the wireless link should sound just like a conventionally wired guitar. However there are some considerations, for instance the receiver will have an output level control - if the receiver is driving the guitar amp input or a bunch of stomp boxes, this output level will affect the gain of the system, and if overdrive / distortion is used either at the amp or with pedals, the clipping levels could be different. The same will be true of any level-dependant effect, such as auto-wah. Set the output of the receiver so that the level is the same as the nominal output of the guitar.
No. The FM carrier wave will get stronger as you move closer (as far as the receiver is concerned), but the actual guitar volume levels are encoded into the radio signal as slight changes in frequency (within the channel), so the guitar level will be consistent, whatever the transmitter / receiver distance - at least to the point where it is still in range!
Average range is generally quoted as being about 100m. However, environmental conditions not only electromagnetic can have an effect. Best to perform a test before a gig to make sure you wont lose contact with the receiver as you run out into the crowd at the climax of your solo!