I'm an F-in newb. So, how do I get my models in maya exported into WED with textures? Do I need to import into MED and apply textures in there? I am so lost.

Alright. I got the models with textures into MED. When I save them and bring them into WED it comes in blue with no texture.

Any ideas?

Two ideas:
Make sure, that the textures are in a supported format (.pcx, .bmp, .tga, DDS).
If that´s the case, then - if you use external textures - copy them into the folder of your main script and level file (or place a path instruction to the texture folder).