Printing has always been one of the Amiga's weakest areas. Turoprint supposedly helps a lot, though I don't have it. PostScript is a huge help if you don't have Turboprint.
For better color output, make sure the dithering method is set to something other than the default. Floyd-Steinberg is a big improvement. I think the Workbench printer.device is still limited to 4096 colors, so some manner of dithering is definitely required.
As I recall, multiple units can only be used by programs that support them, IE, those written with v44 printer support. In the grand timeline of Amiga software, though, that's not a lot of programs. I think non-compliant (read: old) programs just default to unit 0. This is documented somewhere - might be in the Boing Bag Readmes, or maybe in the digital manual on the OS install CD.
I used to get an extra page after printing as well, but I can't remember what I changed to get rid of it. I also can't remember if I got extra pages after any print job, or just those from certain programs. It might have had something to do with the number of lines per page in the Workbench Prefs, or sending an EOF character in the Wordworth Printer Prefs.
EDIT: For GraphicDump, there's a UNIT keyword you can adjust if you run from a shell.
EDIT2: From some quick SnoopDOSing, it looks like UNIT works as a Toottype as well, but it's not in the icon by default.