Ctrl + A is fine for selecting all.
First you need to use “Click Removal” .
No you don’t have to start over if you make a change .
What you want to do is play the song in Audacity after each change.
Or enough of it to see if the change did what you wanted.
Then if you didn’t like what the effect did you go to Edit/Undo the change.
That will put the song back to before the last change. It might undo even more than one but I don’t use it that way.
I think what you misunderstood was this;
If you get tired of messing with a song you are working on & want to start again later at the point you were at you do a File/ Save project . Then you load the project when you want to work on the song some more.
Like any audio file you work with it is always a good idea to have a backup original stored somewhere. That way if something goes wrong you have it.
So give “Click removal” a shot with the default settings . Then go from there.
You may even want to run it twice with different settings.
I would go to the high or low pass filter after that again use the default .
If it still isn’t sounding a lot better "Noise Removal " . For me it’s not my first choice some may disagree.