Can anyone recommend a consise guide to the menu_config screens. At the moment I keep using my existing 2.4.29 version .config, but can't help thinking that I should be using a fresh 2.6.11.8 version.

Any help would be appreciated.

The best way to start is either find a guide on the forum or follow this:
copy your 2.4.# .config file to your new kernel directory then run "make oldconfig". Any new parts to the kernel will ask for your input (Y/M/N). Once you have done this you can run "make menuconfig" as normal.

Thanks, Is there a reason why something would be a Module rather that compiled into the Kernel?

If you compile a feature as a module then the kernel will be less bloated, if you know that the module will always be loaded then you might as well compile it using the "Y" option - in other words include it in the kernel, not as an external loadable module. Your system will be more flexible however if you compile non essential parts as modules, so that if you change your hardware or decide to not use certain parts of the kernel, you can unload the module or add the module name to /etc/hotplug/blacklist so that it isn't loaded at boot time.

Once you know what you need ( lsmod and lspci will help ) . It's not such a big deal and you can even start your configuration file from scratch . Just make xconfig ( or menuconfig .... ) and read each option carefuly . There are some things in there that you will obviously need like AGP support , IDE support but also some things you are never going to use like the SCSI ( although some of it is required for USB ) or ISA . The things that you are unsure about you can compile as modules but I like to have as few modules as possible .
Keep your old kernel too for a while and if you notice anything wrong use that to boot and try a new configuration ( if at first you don't succeed , try again ) .
Kernel configuration isn't that difficult as it's pretty well explained what each option does + advices ( like you'll probably need this or not need this ) .