Howdy, and to echo Bill's welcome, congratulations on choosing the most fun army in 40k! You'll never play the same game twice. For learning, that's a double-edged sword.
Let me say first, I'll be teaching someone this Thursday how to play both 40k and Daemons. It'll be very casual, so if you're in the area, stop in. Discussing 40k is much, much easier in person, especially with the sheer quantity of topics.
Bill's had far more success with Daemons than I, but we agree on most Daemon tactics. He just rolls dice pretty darn well and has many, many more years experience than I.
Daemons gamble, constantly. Get used to winning big and losing big. You will lose units to Deep Strike mishap, and you will scatter 12" the wrong direction. That doesn't make you a bad Daemons player. You have to weather the storm of crazy dice.
Turn 1 for any Daemon army is going to hurt, period. It's the price you pay for landing wherever you like and giving the bird (Fateweaver?) to Deployment. Your best bet is to get comfortable landing in areas that will provide cover, even if this means taking Dangerous Terrain tests when you land. That's what your Invulnerable save is for. Don't forget to run!
It also helps to play aggressively, because as Bill pointed out, this forces your opponent to make decisions. As you get more experience, you'll learn where the boundaries are and how much you want to push.
By the way, there was apparently a pretty radical Daemons list that just placed very well at Adepticon, but I can't seem to find it. I'm dying to see it, if someone can dig it up.
