Jämtland: I was too poor to create a Duchy

Here's how it works: If you are their liege, the gains from the war are part of your kingdom. It doesn't matter if they're your king, duke, earl, or even mayor, bishop, or count.

To claim a duchy from somebody else through war (when you don't have a casus belli that lets you claim it directly):

1. Find out who* has a claim on it by opening the duchy information screen and clicking on "Claimants" to see who has a claim on that kingdom.

2. Invite one of the male claimants over to your court. (If nobody will come over, or there are no male heirs, you'll have to find another way to get that duchy. Note that if one of your courtiers marries a female claimant that you can't legally give a title to, that female claimant is not your vassal and the newly-conquered duchy will not become part of your kingdom, even if you give your male courtier a title.)

3. Give that claimant a landed title. Any landed title will do, even a city, church, or castle.

   Note that if you land the claimant a city, gaining him a Duchy will found a vassal merchant republic instead of gaining you a new feudal vassal if you are playing version 1.9 of the game or later. Merchant republics are generally considered awesome to have as vassals due to their revenue and tax bonuses, but this might disrupt an existing merchant republic that is already earning you revenue.

4. Go to war with the ruler of your choice, using the "Claim on duchy X" as your casus belli.

5. Once you win the war, that claimant will be your duke.

I'm guessing that this will also work with kingdoms if you're an emperor. So far, I've claimed two duchies this way: once by giving away a county to the claimant, and once by giving away a bishopric.

*As revealed in this other answer, you can't actually press the claim in war unless the claim is strong, or the claimant is a pretender (2nd or 3rd in line), or there's already another war going on over the title, or the current holder of the title is a woman (and you have a male claimant) or a child (so there's a regency). You can only use "any claimant with a pulse" if the title is disputed or the ruler is a child; you can only use "any male claimant with a pulse" if the ruler is female; otherwise, you'll need to pick up one of the pretenders or someone with a strong claim: you'll need to do slightly more research to find who they are, and they're often harder to invite to your court.

(Note: if there are three or fewer male claimants, then it's almost certain that they're the heir and pretenders. Just grab one and go on your way. Figuring out the exact claims is more important when there are four or more male claimants.)

The first disadvantage of having multiple highest tier titles (in your case, multiple kingdoms) is that it complicates succession. You'll want to make sure that all of your kingdom titles have their succession laws set up in such a way that you can insure that on your death all of them are going to your heir. The obvious problematic scenario is being on Gavelkind succession, which splits up your highest tier titles automatically. However, you can also have problems if, for instance, Ireland is on primogeniture succession and Brittany is on, say, Elective and the electors aren't voting for your eldest son.

The second disadvantage is that it creates more discontent in your realm. While holding those kingdom titles, any Dukes within the de jure territory of those kingdoms (except for those with the 'content' trait) will get a -20 relations modifier for 'Desires the Kingdom of x'. Ambitious dukes will get a further -50, since you posses something they desire. Note that this is also true of counts within the de jure territory of the duchies that you hold.

As for whether or not you should have created Brittany, it really kind of depends. Creating a kingdom is a good way to get claims, so if you needed the claims to take the territory in Brittany, then it could be a reasonable decision. Creating a kingdom 'just to have it' though when all the territory is already controlled has more cons than pros. You get a bit of extra prestige from holding the title, but the discontent it creates often isn't worth the trouble. Outside of getting easy claims, the only time I'd create a kingdom is if I need to to form an Empire.

There is a concept of 'de jure drift' which causes titles to 'assimilate' into others after they have been controlled for 100 years, but this only happens with a lower tier title drifting into a higher tier title. As such, Brittany will never assimilate into Ireland, but, should you form Britannia and become an Emperor, after 100 years the Kingdom of Brittany would drift into being de jure a part of Britannia.

The advantage of holding the duchies yourself is quite minor if you don't actually control the counties within the duchy yourself. Basically, the duchy you really want to hold is the duchy that contains your capital. All of the counties within this duchy get a bonus to levy size. Other than that, again if you don't own the counties themselves, you're only removing one person getting a 'cut' of the tax revenue and levies from the counties, but I would consider this not worth the -10 relations penalty (per duchy above two) that you're taking with all of your vassals.

I would immediately suggest giving all but two of the duchy titles away to vassals, and definitely choose counts who own land within the de jure territory of the duchy you're giving away. Keep your capital duchy, and work to get control of the counties within it (You should be able to plot to do this if your character doesn't have the 'content' trait. You'll have to get more creative otherwise) if you don't already have them. The second duchy to keep would be the one you control the most counties in, and, demense limit permitting, do the same thing as with the capital duchy. This way, you get the maximum levies and tax money out of the counties you control without taking any avoidable relations penalties.