To answer your questions as best as I can
1) You can be any level to change nationality from what I know, you just need to speak to the representative in the country you want to join and ask for it.
2) To get the chocobo license, you must reach level 20 with any job and then head to Jeuno. In Upper Jeuno there will be a chocobo stables. Talk to Brutus there, and he will instruct you to care for a chocobo. You need 4 pieces of Gausebit Grass for this quest. Your best bet is to get them in Bastok, they are usually cheapest there.
3) As for joining Bastok or San d'Oria, thats a matter of personal preference, look at what each nation has to offer and decide based on what type of character you want to play as.
4) The price for the country depends on the nations current rank in conquest that week. I believe it is:
1st place 40,000gil
2nd place 10,000gil
3rd place 4,000gil
I may be wrong, so if anyone can correct me, that would be helpful.
One more note, conquest points are allegiance based, so if you switch to a new country that you never been to before, you will lose all conquest points, but if you decide later on to switch back to the original country, you go back to the original value.
Example: Earn 5,000 CP for Bastok
Switch to Windurst nationality
Lose all CP, make 8,000 CP for Windurst
Switch back to Bastok
Current CP 5,000 (Since I'm back to Bastok, going to Windurst again and I would have 8,000 to spend there.)
Hope this all helps