I'm pretty confused about how this all works. Both SP and SBD earn rewards for holding them - is that right? I can't hold SP in my own wallet, and can only hold it on steemit.com? But SBD and STEEM can be withdrawn into my own local wallet and freely traded? Except I seem to remember there's a 1 week delay with SBD withdrawals. Can I hold SBD in my own wallet and earn rewards, or do I only get rewards if I have steemit.com hold them? Am I totally misunderstanding everything?

SBD currently earns 10% interest (rate is variable) and SP earns anti-dilution payments that offset most of the STEEM inflation. You can hold SP (or STEEM or SBD) in your own wallet with your own private keys, and there is no disadvantage to doing so in terms of rewards, etc. The web site is really just a web wallet that gives you a view of the blockchain. There are no restrictions at all on transfers of STEEM or SBD. SP is locked up and can only be converted to STEEM 1/104 per week (with a one week delay before first conversion when starting the process). SBD can be converted to about 1 USD worth of STEEM with a one-week delay, but this is an optional function that supports the pegging of its value and never required (alternately you can transfer it and/or trade it on a regular exchange or via the internal market with no delays)