Installing TWRP?

I'm very new to all this, so if this is a stupid please forgive me.

I have a z3c with Android 4.4.4, I believe last night I've unlocked the bootloader via Sony's process. Phone rebooked and reset (and did see the green android doing stuff).

I want to install TWRP and then CM12.

Firstly, I can't seem to get into the standard (if there is one) bootloader by holding the volume button down.

Also, Is there a step by step guide to installing TWRP and some way of confirming I have actually unlocked the stock bootloader?

Regards.

>R.