There's nothing wrong with fighting inside, just be aware that your opponent can hit you there too.

As for countering the jab you can either slip or parry. Neither is more important than the other, but you should learn how to do both. I think slipping or parrying punches are still better than blocking. Catching punches is different as long as you are in a position to counter.

How's everything else coming along? Wou should also be incorporating you attack with your footwork.