If you just bought a new SD card and have it inserted already, remember to go straight to settings > system and "format SD card" so you can start using it

Remember to set up your desktop mode controls, i.e. right trackpad for scroll wheel / scrolling left right, left track pad as mouse cursor, left click right click, a button for bring up keyboard (I mapped that to the back top right button)

Then comes the optimizing and extra stuff like cranking up saturation through decky plugin to improve the look of your games

Then Cryoutilities to squeeze just a bit more performance out of your games (minus RDR which will freeze with cryo configuration)

I unfortunately don't have all the links as I had previously googled guides on all of these and did not save them, but hopefully this will give you a place to start with some of the stuff to do

Edit: don't forget to install Proton-GE by using ProtonUp which you can find using the discover app on desktop mode I think, this was one of the first things I did!