A small-size map is generally the best choice for a new player; the larger maps tend to have things spread out too much whereas with the smaller maps, it always seems like you're finding stuff.
The game is pretty open ended; in general what you'll want to do is dig around to find metals, so you can dig deeper to find better metals, so you can dig deeper and find gems and rare materials, so you can get your character strong enough to face bosses and even deeper depths. Along the way you'll find coins, treasure chests, accessories and a slew of enemy-dropped materials to craft things from.,
But that's about it. Dig, fight, smelt, build, dig, fight, smelt build, dig... it sounds boring, but once you figure out the general pace of things, it gets its claws into you pretty quickly.
As for multiple beds, it's up to you. You can only be saved to a single one at a time, so you could drop a bed in whatever area you're going to be most active and always log in there, instead of logging in at the surface and then working back down.
Most people tend to make a safehouse at the surface for storage, and various apartments for their NPCs (if I remember correctly, they won't move in past a certain depth, but I've never tried to get them to move in very deep).