I'd say to take it slow with combat, don't rush in and get smacked too much. Getting hurt too bad in one fight can lower your max HP and have serious repercussions for the next one. Try to make sure you'll be able to make it back to a safe area, and learn when it's time to pull out and do that.

Also, staying supplied when you head out SHOULD seem obvious, but it's important enough that it still needs to be emphasized. Stay stocked.

That said, unless you're playing on Hardcore or whatever, there's no chance of permadeath or a game-ending moment. Don't be afraid to go out and explore the map and get your ass beat. Some of the most fun parts of my run were being fucked up beyond belief and going "how the hell am I gonna make it back?"

Bring a friend if you can. On PC, you can mod it so you can play with more than one other person. My run was myself and two others. I doubt I would've made it to the end of the story otherwise. :P