I recommend following a setup tutorial on YouTube. They usually link to models and stuff youll need. Look for a recent one, this stuff evolves a lot.

It was probably a dumb question

No such thing as a dumb question. but yes the WebUI only exists so you dont have to type into a command prompt. It looks nice and pretty for humans, and then translates all those settings into a command that is then sent to stable diffusion. All of it stays 100% local, unless you go into the WebUI settings and tinker with remote access. But it is off by default