since Castille have so many provinces how do I figure out which are the most important? Ie Where do I build the buildings? Where should I build more army?
A little something else for this question. You can find out how good of a province is for income through its Base Tax (mouse over the 'tax' over the province card) and the Trade Value of the trade good produced by the province (salt/cloth/wool/grain)
Trade Efficiency applies to both base tax (toll) and trade value (buildings only, and directly translates to production income). Tax efficiency applies only to base tax (monthly tax and yearly census tax). Production efficiency only applies to trade value (production income).
There's also the problem with core/uncored provinces. An uncored province gives substantially less tax than a lower base tax but cored province, so leave those uncored provinces for lasts when you're considering tax related buildings.
TLDR: Going by the ledger sorting feature, build everything on high tax, high trade value cored provinces. Ignore tax buildings on low base tax or uncored provinces and production buildings on lower trade value provinces.
P.S. since the trade good of a colony is randomized, it's only smart to colonize high base tax provinces to make sure you're not screwed over by luck
Ah.
One final thing. I have no idea what do with my merchants. Where should I be sending them?
As for merchants, always fill up your own CoT with auto send. If you don't have one and you're a medium sized or bigger nation, cycle through CoT by embargoing nations that own the CoT affecting your provinces until you can spend 500 ducats to build one next/on your national focus.
For a foreign CoT, only auto send your merchants when you have higher than 65~80% compete chance. The higher the trade value the CoT has, the higher compete chance you'll need to make any sort of profit. If you have low compete chance, don't have a CoT, and have no hope of getting one soon, a Trader adviser for compete chance is a really good idea (though it requires naval tradition), so they don't get kicked out before they make a profit.
Keep in mind that even though a CoT can be outside of your trade range, you can still trade with that CoT if you join a trade league that owns it. (Venezia, Novgorod!!, Lubeck)