when adding rock you should add all of it at the same time, because it can cause your tank to cycle again from the die off. No matter where the rock comes from, if it's live and cured, you are going to have die off. Maybe not much if it stays submerged from tank to tank, but you will always get die off. If your tank is currently cycling, the die off from the rock you got probably started it. Not to mention if you used live sand it probably started from there too.
Be careful when taking something from a display tank. Make sure the tank is parasite, disease, and copper medication free so that you don't transfer anything from their tank to yours..If you have dip for your corals I would dip the rocks as well just in case there may be something bad on there. Make sure you comb the rocks over really well before placing them in your tank, because you never know what could be hiding in them..
As for the bio wheel, many people believe that bio wheels are nitrate traps, and are no good. I don't have any experience with them on SW, I have sumps on all my SW tanks. What bio filter are you talking about?
My advice on filtration would be to sump it if you can. It makes life so much easier and keeps the back of your tank clutter free and lookin sharp.