Kriss, at some point, in order to help you, the church/sponsor, insurance folks, US Sailing, and all concerned happy, you will likely need to lay out policies and procedures, probably as some sort of manual or set of documents. These should answer questions such as supervision, qualifications for volunteers and employees, emergency procedures, safety policies, swim tests, etc. You may wish to develop forms to record information for each participant, including emergency contacts, health checklist, informed consent/waivers signed by parents or guardians, skills acquired, etc. Some of this may already exist if your church participates in a youth camp or out-of-area activities and trips.
There are different kinds and levels of non-profits/not-for-profits. State approval and designation may be cheap and easy, but doesn't do anything for the feds. Getting the IRS to issue a "letter of determination" of non-profit status for a 501c3 or other nonprofit takes some paperwork, patience, and money. There are a few types of nonprofits that might be able to elect the option of "self declaring" themselves as nonprofits, but this is a tricky area where you'd want good, professional advice... maybe this is up Stumble's alley.