I'm not clear on when, and by how much, the vang should be tightened or loosened.
I don't understand how the vang's used differently when going up/down wind
In theory, at least, the vang/kicker on a dinghy is pretty much for controlling leech tension and sail twist.
To rather oversimplify, the reason for doing it is that all the "sheeting-in" force on the sail is concentrated along the boom. As you get further away from the boom up the sail, the sheeting-in force decreases and the wind makes the sail begins to twist—reduces the angle of attack. On a blowy day, it can actually be enough to seriously decrease the amount of power generated by the top of the sail.
The kicker is used to apply tension to the leech of the sail, which helps to keep the sail twist down and more power on. In theory, when going upwind, you don't need the kicker at all (N.B. in practice, you really
do) as the mainsheet can be used to pull the boom downwards because the boom end is over the boat (particularly in a laser that has bridle/traveller-y thing). Obviously, in real life you don't want a lot of downwards tension in the mainsheet, so you use the kicker instead to make life easier (plus, it means you keep leech tension on when you're spilling wind in the gusts).
Obviously, off wind you need the kicker to keep the boom down and the right amount of tension in the leech. However, there is less sideways force trying to blow the top of the sail off to leeward—so you need less kicker.
In terms of how much, the classic formulation is "so the top-batten telltale is lifting about 75% of the time, up to 100% in heavy winds."
In a Laser or any boat with an unstayed rig, pulling on the kicker bends the mast. This flattens the sail, reducing power. I don't sail those kind of boats, so I couldn't tell you how it is different.
I've managed to find the Volvo videos that kicked off my curiousity. In this one he's adjusting the vang ("kicker") on the reach
There are some clever(ish) kicker tricks. One can, for example, loosen the kicker a touch when overpowered offwind to spill a little wind at the top of the mast (where the heeling moment is greatest) to gain a bit more control. A nice trick in boats with kites—less useful if not.
And here he's releasing the cunningham and the vang as he rounds the marks
Well, the kicker tends to pull the draft of the sail backwards, and the cunningham can be used to bring it back forward. (Although it does other stuff too!).
It seems to me, perhaps wrongly, that it's more important to make more frequent adjustments on small dinghies than on keelboats. I'm I right? If so, why?
Don't know precisely—possibly because keelboats are just generally a touch less adjust-y then dinghies. Probably, more to do with the interaction with the traveller, the weight of the boom, and the option of reefing.
When can I find some more detailed info about all this?
Frankly, I'd prescribe time on the water playing with it. You can get mind-numbingly dull texts on sail aerodynamics but....
While turfing it off round the top mark and down the reach with the kicker on tight will not do you any favours there's probably more to be gained by focusing on trim and balance.