This wiki is a step-by-step example explaining how the controller, model and the view's CGridView work together. It explains simple things - as well as more complex things that you will anyway quickly have to know. So, even if you don't use dynamic gridviews, take a morning off and thoroughly work through this tutorial. It should save you lots of struggling.
A lot of people have written posts on integrating Yii and WordPress. This article combines goncin's approach with an article I read about integrating Symfony and WordPress and applies it all to Yii and WordPress.