I don't use Red Hat 9, but I do have a machine running Red Hat 8. All versions of Red Hat should come with Red Hat's package management system. The GUI package manager they provide only allows you to add/remove packages from the installation CDs. To go beyond that, then you'll have to get acquianted with rpm on the command line.
Another option would be to search freshmeat.net or www.sourceforge.net
for a package manager that suits your tastes. You may have to install it from source, but that's not difficult.
You can access virtual consoles by hitting Control-Alt-F1 through Control-Alt-F5. There may be more, it depends on how many virtual consoles Red Hat creates. You may also have to add a Shift in the key sequence... I can't remember for sure. You can return to the X session with the same key sequence. X is usually the last virtual console defined.
To actually kill your X session, you can use Control-Alt-Backspace. That is supposed to kill the X server. It's an abrupt exit, and I don't know if Gnome or KDE like it, but it should work.
To disable starting X everytime you boot, you'll need to change your inittab file to specify runlevel 3 instead of 5.