Moving from PC to MacBook Air

1. Yes. If the WD drive is formatted as fat32 or exFat the Mac can read and write to the drive just fine. If its formatted as NTFS, the Mac can read from it, but cannot write to it. You would need an NTFS driver for that.
2. You can connect the Wester Digital hard drive that holds the iTunes Library and point the Music App to the location of iTunesLibrary.itl file on the drive by holding the option key on the Mac before starting the Music app for the first time. Same caveat as above.

The very first thing you need to consider is how big is your internal drive, i.e. is it big enough to hold the data you want to move. Second, you need to leave 15-20% of disk space totally unused at all times. macOS needs room to do it's job.

After that it's a matter of personal choice. Very large amounts of data lend themselves to the Windows version of Migration Assistant.

If you're like me and prefer more granular control I'd get all the PC files on an external disk and then use copy/paste using Finder. When done you have the beginning of an external backup or data storage drive.

Speaking of backing up, if you decide to use Time Machine, best practice is to dedicate an external drive to it.