The tool allows you to read in and save map files, so it's a good idea to save after every 2-3 annotations. If the system fouls up, you can then restart. It's also a good idea not to overwrite your original file!
You should load in an image before you load in a map. (If you have saved a map file using this system, it may automatically offer to reload your image).
You should annotate every object as it is completed. This is the default (which can be switched off). You can also test the URLs at this time.
When testing the URLs, use the KILL TEST button to terminate the test, rather than killing the viewer.
Polygons need not be closed explicitly - clicking B-2 will close them for you. If you end up with a messy polygon, there are Edit items (delete point, move point and add point) which can clean it up later.
Ideally you should use rppm's for image files. If you can't make these, you'll have to produce a b/w gif for markup. This may require cunning editing with something like xv.