My experience with SMS has been in a single domain with one site.  I now need to set up a Central site with several Primary sites.  Is there any step-by-step information available? Does anyone have any documentation to share? What information comes back up to the Central site database, ie, all the primary's below packages, collections, etc?  Any help would be greatly appreciated.

I've found a good step-by-step on myitforum, here is the link:
http://www.myitforum.com/articles/8/view.asp?id=8843
All information comes back to the Central server. Having a central server you should start utilizing the advantages that it can provide you. For instance:
1. Create the collections on the Central server and they will be replicated to the Primary servers. Your advantage here is that you only have create a collection on the Central server and they will be inherited from the Primary servers.
2. Create the packages on the Central server - same thing here. You only have to do it once on the central server. If you have three Primary server for example you would have to create a package on each server.

I hope you find this post helpful.  

Regards,
GSC

Thank you very much! This is a great help in understanding management with a Central site.  However, one quick question: if the Primary site creates their own collections and packages, does that information flow up to the Central site as well, or can we block that information?

No the package/s and collections created on a child does not populate the Central site. (never moves up, just down)