You can avoid splitting or marring wood, such as hardwood molding, by using what is called a nail spinner. With this low-cost device chucked into your power drill, you just insert the nail and then "drill" it into position. The nail will penetrate to within 1/4 in. or so of the surface, then you can drive it home with a hammer and a nailset.
When installing in-wall speakers, use a drywall saw to cut the hole. A utility knife will make the cleanest cuts in drywall, but a utility knife can be difficult to control by a non-expert. Electric rotary saws make cutting drywall physically easy, but they too can be difficult to control. A simple, inexpensive drywall saw (about $10 at your local hardware store) is the best bet for beginners. The speaker’s frame will cover up any rough edges.