Yes, you perform the above steps AFTER you've installed Windows
The Windows installer should ask you where you want to install it, one of the options here is to create new partitions and then choose which partition to install Windows on. If you want the Fat filesystem, DO NOT choose to "Install Windows on the Unpartitioned Space" as this will format all of the free space on the drive to NTFS. I don't know if the Windows installer will allow you to create FAT partitions anymore either, so you may want to do that under Linux. If you installed Gentoo, the steps are the same to create the partition, then mkfs.vfat to format it.
Since you're in a chrooted environment, the standard way is indeed to exit that environment before rebooting. However, since your "real" environment is virtual (the OS is running in memory), you're not going to hurt anything by issuing "reboot" or "/sbin/shutdown -r now" from within the chrooted environment.
You won't be able to use Samba to communicate from one OS to the other on the same system unless you set up some form of virtualization to have both running at the same time. Hence the need for a vfat filesystem. You could just as easily compile your kernel with NTFS and NTFS-Write support (see under Filesystems somewhere) which would negate this need. Personally, I don't trust NTFS nearly as much as I do vfat under Linux. If only Windows could read Reiserfs.