So I am now attempting to try out these list of games:

Wing Commander 1 through 4
Star Wars X-Wing CD DOS version
StarWars TiE Fighter CD Dos Version.

So my questions:

1. How do you "exit" Wing Commander 1 without alt tabbing and pressing close on the window?

2. Speaking for most of these games how do you control the throttle? As in how to make the ship move faster and slower? I am speaking with the default key binding in mind because I doubt these games offered any method of changing the keybindings.

3. The Keyboard is also used in tandem with the flightstick?

Also this is the Flightstick I am using if that is a factor:

https://www.youtube.com/watch?v=JzQUnkL6RNw

I can only speak for TieFighter on number 2 as that's the only one that I have played. The throttle on the stick won't work as it wasn't a dos thing, so you'll (as you rightly say) need to use the keyboard. The +/- keys should control it (I also believe that ] is full throttle but can't fully remember.

I'm surprised the manual doesn't cover it, but it's possible it was only included on a separate reference card which GoG doesn't have.

1. You go to the "Barracks" (where you can also save and load your game) and click on the door to the right.
Keep in mind that you can also close Dosbox at any point by pressing CTRL+F9.

2.Games like Wing Commander 1 are designed with a 2-button joystick in mind. You can change the speed by holding down Button #2 and either pushing or pulling the stick.
On the keyboard, the controls for this are simply "-" and "+". Later WC games are designed similarly, although with more specific commands, such as a dedicated "maximum throttle" key.

3. Yes, more so in the Star Wars games, which are basically full-blown simulations. Wing Commander is a bit more concentrated on pure action, so you'll mostly just use the stick in battle, but certain important commands, like autopilot require the keyboard.
I can only recommend taking a look at the reference cards for these games, which usually have a list of all the controls in neatly organized fashion.

Am I the only one laughing his ass off as seeing "Flight Sim" and "Wing Commander/Star Wars" mentioned together? :P

Absolutely the keyboard is essential with the Star Wars flight sims. If you're not constantly managing your power and properly parsing targets you're doing it wrong ;) God I love them.

Also, these are the default (TIE Fighter) throttle options. Much more important than simple Throttle Up / Down.

ENTER: Hugely important - match target's speed

[ 1/3 power (good for quick turns)

] 2/3 power

BACKSPACE Full Power

Make good use of these and you'll be fine!

"Shut up! Some of us prefer illusion to despair!" :)

Throttle controls? In WC I always kept the ship at maximum speed, and often had to exceed that with afterburners.
In Xwing/Tie I used to control the speed only via the energy system, and the only instances where I had to adjust the speed more carefully were to keep the ship in the blind spots of stations/capital ships.

I have a vague recollection that only X-Wing Alliance lets you turn faster at lower speed. Might be wrong though.

Alright Wing Commander 3 is pissing me off. My flightstick worked right out of the box for most of the games, but Wing Commander 3 for some reason the stick won't work? So I went to the Launcher setting and than I tried tinkering with it and now the stick works, but now I cannot hear any music or sound? So I uninstalled and re-installed hoping it will work and now I am back to the same problem.

Thank Goodness the game allows me to skip the cutscenes.

I just re-installed the game and tried it with my gamepad. It worked, but in-mission, I had to press CTRL+J to tell the game I actually wanted to use the joystick controls instead of keyboard or mouse.
Maybe it's a similar issue at play?

You might be very right about this. When I remembered the commands, I knew they were pretty much the same across all three games (XWing, TIE, Alliance) but when you mentioned the turning at lower speed only being present in Alliance it rang sort of true.