So I just finished the initial quest for the AG and the first for the Thaumaturge's Guild.
...where do I go from here? I'm so lost.
I've never played a FF game of any sort, FWIW.
Thanks in advance for any help.
Best thing to do is just do every quest you can see until you get a feel for where everything is. That should be enough to get you up in level and unlock more quests. The game does a pretty good job of guiding you just by following the main quest chains.
BTW, this is more of a general suggestion to eveyone, but do not disable the active help windows. Especially when you get out of Beta and into the main game. Those things provide useful explanations of every feature in the game, up through how loot works in endgame raiding. There are a lot of little mechanics in the game I wouldn't understand without them, such as obscure things like Guildleve linking.