You should use underground wire which is special because it has extra insulation between the wires themselves. Just as an added precaution. Code probably requires it, if you are planning on getting this inspected.
When you wire a switch, you typically switch the black wire, after the first one, and direct wire all of the whites. All of the lights should chain off the first one, so they should all be the same.
If you don't have any new outlets, then you don't have the opportunity to add a GFCI. Although you could add one. Make sure you have a good ground.