Any suggestions on what to take care of first for first-time players?
Honestly, just set your lineup and rotation (I like to get real granular with platoons when I can) , familiarize yourself with your farm system, and identify weaknesses you want to address.
Understand your financial situation, look at potential extensions, etc. The thing to definitely understand is that each season will only take like 6 weeks tops, so long term thinking is the only thing that should matter.
THIS IS A GM LEAGUE. Your focus should be on the franchise, not on the field.