Congratulations on your new toy, you're gonna love it - I've had mine a month and a half now, and unlike my previous hot hatches, the grin has not subsided as yet
I've done various performance training courses over the years, but the ones that stick out in my mind are:
The first offers airfield based tuition allowing you to find the limits of your car by going straight past them! It's usually run in groups of 2 or 4 per day, but your car will get some severe punishment, so the time spent in the cars of others will allow it to cool down a bit, so it works out OK.
It's run by Andy Walsh, who's very well known in Lotus circles and is rather handy at the wheel. The airfield is North Weald in Essex, which is on the M11 just past the M25.
The best bit is the final quarter of the day when you utilise your knowledge for some timed racing around a short autotest course, great fun and brings out your competative side
Ride Drive is one to one on-road training, given by an senior police road traffic officer or a traffic officer trainer, but don't think it'll be following the speed limit all day long. Last time out I was told to go faster through country lanes, and was in my TVR doing a fair old speed already!
They teach advanced observation technique and brush up on your current driving technique and iron out those inevitable bad habits. One of the most useful (and fun) things you learn is the police technique for overtaking, which makes process through country lanes so more smoother and quicker.
They also offer a track element in their advanced course, again at an airfield - I've not done this, but I know it entails pushing the car up against the limits to see when and why it under/oversteers and how to counter this.
Either of these courses, or others such as Cadence, Rob Gravett and the like will increase your ability and the wheel and allow you to understand the car better, as well as being damn good days out
Not sure about affordable insurance, I ended up paying a lot more than I expected and went with Academy (01753 521 216) - I'd advise you keep calling around and look in the back of any car mag you have around for some performance companies.