Copy.CopyIntoItems needs the document to be already present at some server. The document is passed as a parameter of the webservice call, which will limit how large the document can be. (See http://social.msdn.microsoft.com/Forums/en-AU/sharepointdevelopment/thread/e4e00092-b312-4d4c-a0d2-1cfc2beb9a6c)
the 'http put' method (ie webdav...) will only put the document in the library, but not set field values
to update field values you can call Lists.UpdateListItem after the 'http put'
document libraries can have directories, you can make them with 'http mkcol'
you may want to check in files with Lists.CheckInFile
you can also create a custom webservice that uses the SPxxx .Net API, but that new webservice will have to be installed on the server. It could save trips to the server.