Do I need to be concerned with timezones when creating events in my iCloud calendar?
If you have a number of events you want to enter and you have their times in another zone, it's very handy to use Calendar's time zone support.

First, go to Calendar->Preferences, and click Turn on time zone support.



This will enable a dropdown in the titlebar of your Calendar window:



You can then use this menu to change the display of everything in your calendar to a new time zone.  Pull it down and select Eastern time (or whatever other time zone or city your event is in), and Calendar will convert all your times to that zone.

At this point, you can start entering events, using the times listed in the program for the event.  You will also see a new detail in the event detail popup:



This shows what time zone the event is in.  

Once you've entered all the events, turn the time zone back.  That will display all your events in your own time zone.  If you are syncing with your phone (which knows what time zone it is in) all the events will remind you at the right time.