Re: What is the best way to track which clicks convert into a sale?
If you have a shopping cart, then you most likely have a setting whereby you can add your Google Analytics UA number... if you don't have Google Analytics installed on your site then you need to start there.
Within Analytics you will need to check the settings to make sure that GA knows yours is an eCommerce site. Once you've done that (and the first step above) then your sales data will start to appear in your Analytics reports.
Once there has been a little traffic in GA this will (or should) become available for import into your AdWords conversions. You cannot force this - Google makes it available once it sees a certain level of activity (although there are messages on the interface at present that they should become available almost immediately).
If you see a conversion that can be imported from Analytics called "Transactions" this is the ideal one to select as this will not only give you the number of transactions but their values also.
Just one note... be careful about importing too many conversions. If, for example, you set up a goal in Analytics for visits to the "thank you" page - which would be another way of tracking the sales (although without their values - can be done but requires programming) and then you import the Transactions - then you will effectively get two conversions for the same sale... which effectively reduces your cost per conversion (by half!) but it's not "real" it's just that you are getting two conversions for one action.