[Samsung Galaxy S9 & S9+ Cross Device Development] Neurotical:
Which Files to download?

From the link in the OP: [ROM] [S9/S9+/Note 9] [UNOFFICIAL] [LineageOS 18.1] [Weekly] and then choose the latest version for your device.

What do I have to do before flashing this ROM?

All you have to do is make sure you practice proper safety habits by making sure all your data is backed up/recoverable/replaceable as is common practice for using ROMs and should anything require a full format.

If you are using TWRP without encryption, a simple flash through adb sideload in the recovery should work, but no guarantees because Lineage comes with its own recovery (see [ROM] [S9/S9+/Note 9] [UNOFFICIAL] [LineageOS 18.1] [Weekly] download link). People have shared success doing this, but have also reported incompatibility issues that were fixed when moving to the Lineage recovery. If you do decide to change recovery from TWRP to Lineage, I think a system format/wipe is required.

If you are using TWRP and encryption, you'll likely have to do a full reformat and replace the recovery with lineage recovery (or TWRP without encryption).

How would the process be? First, flashing Lineage recovery, installing ROM, or updating baseband?

If you already have TWRP, try to install the ROM using adb sideload. If you like the results, that's all!

[Recommended 1/3] To do it right, and minimize incompatibilities issues, replace the TWRP recovery with the Lineage Recovery (see [ROM] [S9/S9+/Note 9] [UNOFFICIAL] [LineageOS 18.1] [Weekly] download link).

[Recommended 2/3] Next, do a system wipe/factory reset in the recovery.

[Recommended 3/3] adb sideload the latest ROM for your device in the Lineage recovery and reboot.

Baseband flashing is not required. If you do decide to do it, it is not reversible and should be done only after you have your ROM and Recovery up and running and stable.

Do I have to clear internal storage? It isn't in the instructions though.

Clearing the SD card is not required, you can keep all this data.

Clearing the internal storage is only required when changing the recovery (from TWRP to Lineage) or when removing any encryption. But remember if you keep TWRP recovery, the ROM flash may work, but there may be some random incompatibility issues.

After the install of this ROM, internal storage always remains intact when updating weekly through OTA :)

Also which micro G? Are all steps necessary?

MicroG is not a required step. The ROM supports the package if the end user wants to install it. All the links are in the OP and the most recent versions of each part of the package (microG services core, microG services framework proxy, NLP backend, PlayStore or FakeStore) will do. Be sure to click on those links from your phone as they will open up in FDroid for your conveneience.

What should I select on TWRP while backing up the current ROM?

I am not familiar with TWRP, but perhaps someone here on the community can help. When I make backups, I just ensure as much of my data is on my SD card and I keep a list of apps to download again. 2FA is VERY important for you to make sure can be recovered. Pay extra attention to that.

Hope this helps! Good luck! Be sure to share your experience and learnings with the community here when you're done.