You *can* mix and match them, but its best to pick one or the other. Basic differences are:
1. Security Policies can't do L2 rules, DFW rules can
2. Security Policies can do service insertion, DFW rules can't
3. Security Policies take a bit more effort to understand at first, but in the long run you will end up managing far fewer rules/SGs if they're used right
Here's an article that talks about using SPs vs DFW rules: http://nsxperts.com/?p=65
Also, don't worry about the weights if you're configuring SPs in the GUI. Just order them the way you want and it will set them to appropriate values.