I would say the biggest to do is to check out all that is offered and play around with all the items you get.
Listen to the radio station that is contstantly playing (click on the Radio link at the top of the page) and at least lurk in a chat channel. The game makes more sense and feel more rich when you immerse yourself in those things.
To know what the items do go to the "official fansite"
KOL Coldfront . That is very helpful when you start to cook and combine things.
I wouldn't say there are any don'ts that I know of yet.
Anybody feel free to send me a message over at KOL. My name is lithium_6, currently a level 8 Vermicelli Enchanter.
In other news... I am still looking for a good clan if someone knows of a good one to join.