Mana from firebending abilities isn't lost until you leave combat and go to your second main phase. It can be used at any time during combat, even after combat damage has been dealt.

Multiple instances of firebending on the same creature trigger separately, each granting you the appropriate amount of mana.

"Firebending N" is a keyword that represents the ability "Whenever this creature attacks, add N {R}. Until end of combat, you don't lose this mana as steps end."

Any other mana you add during combat will still be lost as normal when moving between steps of combat.

Exhaust abilities can be activated any time you could normally activate an ability.

Firebending abilities aren't mana abilities. They use the stack and can be responded to.

If an ability triggers whenever you activate an exhaust ability, that ability resolves before the exhaust ability resolves.

If an exhaust ability of a permanent is activated, and then that permanent leaves the battlefield and returns to the battlefield, it becomes a new object so its exhaust ability can be activated again.