Do I need a locking pin or any fasteners to keep this in the receiver?

Hardware to secure the step in the hitch is not specified in the product details. Test-fit first to determine whether you need a hitch pin, clip, or additional fasteners for your particular receiver.

Can I leave this installed permanently, or should I remove it when I'm not using it?

The step is designed to slide in and out of your receiver as needed. Leaving it installed is fine, but removing it when idle prolongs the finish and keeps your hitch uncluttered.

What kind of prep or paint work does this need out of the box?

This arrives with a gloss black finish already applied — no prep or painting required. You can bolt it on and use it immediately.