Question 1: If you want the most realism reflected in scoring, yes, count losses.
Question 2: Penalizing blown saves adds realism, and really the top closers are probably only going to blow a handful of games each year while the lesser closers will blow more meaning the scoring system will clearly separate good closers from average ones while still leaving value to the top guys at that position.
In general, my experience in point leagues has been that you want to try to create a scoring system that makes pitchers and hitters roughly equal. The true studs will still stand out and be more valuable (RJ, Bonds, Vlad, A-Rod, etc). The best way to evaluate the scoring system is to figure up what a bunch of players would have had last year based on the system and see what you come up with.