Start slow...just do your cheeks for 3-4 days, maybe even put off ATG for a while.
Three big things to always do/remember:
1. Stretch that skin and keep it tight as possible.
2. Always be aware of your angle (and tip if it's not rounded even then it can bite you).
3. Shave the lather not the face.
OH, and BREATHE!
I still remember the anticipation of knowing my first straight was on the way (thanks, @Lmarkow !).
Bevel Boy gave some great advice. I would add:
Don't give up if you find the first shave doesn't meet your expectations. After my first straight shave I was convinced that I would be a lifetime DE guy. After a few more, once I started to get the hang of it, that's when I got hooked. Just make room in your budget/shave den for more razors, strops, etc as the addiction goes into full swing!