jhaze, yes, the adjustment metadata is stored along with the original raw file. This is becoming increasingly common across camera makers (e.g., Canon and Nikon do this as well with their recent models).
Once the image is opened in Photoshop proper (as opposed to the Camera Raw plug-in), you are looking at a pixel-based representation of the image. In other words, the image is no longer in a raw format, but has been converted and processed to a rendered pixel format. So, yes, the compensations have already been applied.
I am not sure what you mean about needing to save a copy. You are certainly welcome to save your rendered image as a TIFF, JPEG, PSD, etc. Normally, once you bring an image into PS, you are likely to do additional work (e.g., with adjustment layers). To save those additional edits that you make, you do have to save it to a rendered file format, e.g., TIFF.
Yes, you can save as a PSD. But I recommend TIFF instead (being a standard, documented format). You can also preserve Smart Objects using TIFF.