You can translate it as ever if it's in a question or if there is some other negative word (as in "Nobody has ever climbed that mountain"), and as never otherwise.
It's not a question here and there's no other negative word such as "nobody", so "never" is appropriate here.
Both can mean "never" and both take the place of ddim in a negative sentence.
You use erioed with:
present perfect: Dw i erioed wedi mynd i sgio "I've never gone skiing"
simple past: Es i erioed i sgio "I never went skiing"
pluperfect: Do'n i erioed wedi mynd i sgio "I'd never gone skiing"
And byth is used with:
present: Dw i byth yn mynd i sgio "I never go skiing"
imperfect: Do'n i byth yn mynd i sgio "I was never going skiing / I never used to go skiing"
future: Fydda i byth yn mynd i sgio / A' i byth i sgio "I'll never go skiing"
conditional: Faswn/Fyddwn i byth yn mynd i sgio "I'll never go skiing"
You can also leave the ddim in and put the erioed/byth at the end:
Do'n i ddim wedi mynd i sgio erioed "I'd never gone skiing"
Do'n i ddim yn mynd i sgio byth "I never used to go skiing"
...and so on.
Would Dw i ddim erioed wedi bod yno? be possible Welsh? (If so, it would seem that the meaning is exactly the same with the negative ddim and without!)
Double negatives don't make a positive in Welsh, they just usually make it more negative. In the case of erioed it usually takes the place of ddim rather than being added after it:
Dw i erioed wedi bod yno "I've never been there"
Alternatively you can keep the ddim in if you put the erioed at the end:
Dw i ddim wedi bod yno erioed "I've never been there"
No - 'di is just a colloquial contraction of wedi, although I don't think it's taught on Duolingo so it's going to mark it wrong.
’di is just a spoken contraction of wedi or sometimes of ydy. Welsh has a variety of spoken contractions, but we generally avoid them on Duo in order to keep things reasonably standard and simple for beginners.