I want to do this, but I have some concerns as I have not seen any success stories. Any suggestions, gotcha's, tips, or step-by-step guide?

You can install the redhat 6.2 rpm. It worked here on 8 Cobalts
Login with ssh/telnet to your box:

wget ftp://mirror.vuurwerk.nl/pub/redhat/linux/6.2/en/os/i386/RedHat/RPMS/rsync-2.4.1-2.i386.rpm

rpm -Uvh rsync-2.4.1-2.i386.rpm

And you got rsync

You simply installed it and it worked? How is the documentation on it? I want to rsync two different servers. I was told that rsync was the way to go.

Maybe you didn't know, but the Raq3/4 OS is based on Redhat 6.2
So most rpm's build for Redhat 6.2 will work for your Cobalt.

Documentation?
after installing type: man rsync
And you will find everything you want :)