How far you need to dig rather depends on what the land was being used for before you started digging, and what you intend to plant when you're done, so more info please. As for rocks and stones, remove larger ones, its okay to leave in small shingle or gravel sized ones, even larger ones like small pebbles if there aren't that many.

There's no simple answer to that as many plants thrive on very poor shallow, but well drained soil, low in nutrients, while others need deep, fertile soil. In very general terms, anything which makes an extensive root system, like a canna or many other herbacious perennials which die back to the ground, require fairly deep soil
Although what you are doing is hard work, always remember that you only really need to do it the once, and once the task is done and you have enriched the area with good top soil and compost, you have a bed which will grow you strong plants for years to come.
If you stint on the job, you will for ever be frustrated by all the plants which fail to establish or die prematurely.
I skimped on the work for our flower and shrub garden and now it is full of perennial weeds and couch grass which I can never get round to removing short of remaking the entire plot from scratch.

Good advice Bertie, I have cut some corners and some plants just not happy, I wish I had done more homework rather than my hung ho approach. I've only been gardening about 2 years x good luck and have fun xxx

I'd agree with that. The soil here is rubbish - one step away from the beach, it's so sandy. The previous owner had filled the biggest bed closest to the house with things like pampas grass and then covered all the soil with a mulch of stones! I got rid of the grasses but didn't do anything like enough to improve the soil and six years on am still sifting out endless bloody stones. They might have helped in a heavy soil but certainly not on sand!