Where to start?

Um, it looks you already have a fairly solid plan on how to start off.  I might add some strength training in there to work on some of the physical issues you have, but I'd probably consult a professional so I could focus the training to how it would benefit you the best.  Although general all body workout even would help. 

Personally I am not a fan of planned cheat days.  It is so easy to blow your whole weeks progress in one simple little day of overeating.  I would rather have treats through out the week.  This also allows me to never feel deprived.  I think having a cookie a day (if that is what you want) and accounting for it with your daily calories is better for you mentally and physically.  But everyone is an individual and you have to do what works for you.  Maybe think of a cheat meal instead of a cheat day if that is the route you want to take.  Harder to blow your progress on one meal vs a full day (although still possible).

This is some good wisdom.  Always count.  Strength training very important for you right now...if you can, I'd ask your doc for a referral to a physical therapist for that ankle.  That, and be patient, but relentless.  Don't be discouraged if the your scale doesn't change as quickly as you'd like it to.  It IS a science, and you're doing your part it will happen.

Welcome!  It sounds like you have a very realistic plan in mind and it seems like you will be making the changes in manageable chunks (swim focus first, then biking, then running), which should make the adjustment to a regular exercise routine easier.  If you should have trouble with your healthier eating plan, break that down, too.  For example, start with adding 2 servings of fruit a day, then work on adding more veggies, etc.  Often times diet changes are too sudden and dramatic and people find they can't stick to them for long.

Losing weight will help your ankle and knee greatly.  Speaking from my own experience (and from facts given to me from my OT friend), any extra weight compounds any knee issues.  I forget the exact numbers, but  I think for every pound a person is overweight, three to five pounds of extra weight is added to each knee during walking. So in contrast, a ten pound weight loss causes 30 to 50 pounds of extra stress to be relieved from the joints.  Substantial.  Last year I lost close to 20 lbs and it made a huge difference.  Unfortunately, I gained about 8 of it back, so I need to keep focusing on my weight, too! 

Best of luck to you!  Posting here on BT, keeping training logs and joining groups may help keep you motivated and give you support!

I'm in a similar situation with running. I have feet issues that I believe have been caused by or at least amplified by my weight. I'm not running now, but hope to with the loss of about 20 lbs. Right now I am working out on the elliptical -- I can get a good cardio workout and some leg work without the constant pounding on my feet.

Hope things work out for you and you get to your triathlon as planned.