Then I click the Pay button, and a new window appears, where I can set the fee. I do that. RBF is checked. Then I click Finalize (thinking it's the last step). Another window! Sign. So I click Sign. Another window!!!

With the Broadcast button now. I haven't clicked it yet. Is that it, I just click Broadcast and it's sent? Or will there be more windows and confirmations? And does everything sound kosher?

If you didn't click advance and set fee by default your payment will be sent directly. But if you click advance then another step like you said, so if you click broadcast your payment will be sent!. no other windows, only tx id appears.
OH SH111T!
I just did something STUPID, and I don't know if I lost all my BTC. My heart is beating so fast now, and my hands are shaking.
Whilst waiting for one of you here to reply to my last message, asking if everything was looking ok, I decided to CLOSE the last window, and not Broadcast yet, thinking I'll be able to do it once one of you has answered here.
It then said the transaction is unsaved, do I want to save it? I said yes. It then said it's saved offline or something, and that I'll have to broadcast it if I want the network to see it. Ok.
So then I'm back in the main Electrum window, in the Send tab, and I see my transaction listed in the window below, and it says Paid, and has a green tick next to it. This alarms me, as I didn't think I sent it yet, and I'm not sure if what I'm seeing means that I have. So I right-click it, meaning to click details, but click DELETE by mistake, and it's gone!!! No undo (ctrl+z).
I'm praying and hoping it's nothing, and I've just deleted an unbroadcast transaction, and that I haven't lost my BTC irretrievably.
Now, in the History tab in my Electrum, it's a little weird. In the very bottom of the window, it's still showing my full amount of BTC, but in the list of transactions, the most recent one is the one I fudged, says Local [rbf, my fee], then description, then full amount I was going to send, with a minus in front (negative amount), and 0 under balance.
So I'm not sure what's happened, and what I'm looking at. Like I said the bottom left of Electrum is still showing my full balance.
Do I just create the whole transaction again?? And then hit Pay, then Finalize, then Sign, then Broadcast? Or have I fu**ed it all up somehow???
Thank you.
EDIT: If I right-click the Local [rbf, my fee] entry in the History tab, and click View Transaction, I seem to be back at the window, with all the details of my transaction, and the Broadcast button. Is that it? I just hit Broadcast, and it should all be ok?
you don't lost anything if you didn't broadcast it.
you don't need create transaction again, just right click ongoing payment right click, then click pay.