Mongo db and sharding / replica sets concept questions
1 - You can have more than 1 mongos instance and connect to whichever you want (the client driver should have that option). Nevertheless, a mongos is just a router, meaning it will only route the requests to the correct shard(s).

2 - Yes, a config server can be in the same machine as a primary/secondary, just don't put config instances together (you are required to have 3 because of redundancy).

3 - A replica set is a group consisting of 1 primary and N secondaries. If you are sharding,  each group will be a shard. That means that the single primary and all secondaries of the same group will have the same data (replicated). Also, having more secondaries won't help you increase the write performance as only the primary is able to do perform inserts/updates/deletes. Considering this, the only way to increase the write performance is by having more shards (horizontal scaling) and, of course, choosing a good sharding key that will balance data across all shards (you don't want all your data to be in 1 shard and all others remain empty). For further info check this official doc explaining the concept of replica set and its members http://docs.mongodb.org/manual/core/replica-set-members/

Also, instances of a replica set shard (the primary and N secondaries) are not required to be in the same machine. You might want to put them in separated machines to increase redundancy and perhaps have a better distribution of the load.