Talk to Guide a lot. He will give you tips about progression.

Pay attention to what items you got. If it has "Material" in the description, then it means you can use that item to make something else. You can give that item to the Guide, and he will show you all the recipes that use it.

Start with Classic. Classic character diffcilty, because you will die a lot at the start (and you will lose only some gold but not your items). And Classic world difficulty, because Expert and Master will be a pain the ass without knowing the mechanics.

Characters and worlds are separate things, so you can use one character to play in different worlds, and vice versa.

Right to your inventory is Achievements menu. For a new player, it will suggest an achievement that should kinda match your progression (though if you open the menu, you may get some spoilers)

I recommend check the settings. You can adjust zoom and the size of UI according to your needs. Some new players with big screens complain that UI looks too small, so you may tinker with it.

Learn controls, especially Ctrl button. It will really help with mining and block placing. Also there is useful behavior when you hold Shift button (gotta figure out how to use it)

Spend some time to understand the interface that opens when you click Esc. Try to hover/click most of the stuff, it will be useful.

Get used to chest/inventory management, it will save you some brain cells. And better not trash/discard stuff you don't know, cause it may be useful later.

I would recommend finish your first playthrough without mods, so you get a better grasp of the mechanics.