It's somewhere in the Skies thread too, but biggest advice as far as I'm concerned is to remember that there *is* a save function and that you should probably use it. Now, dying a few times while discovering the game and finding out what goes away, what transfers over and why, how the world changes, as well as getting a chance to do some things differently with storylines is cool and part of the appeal of the game. I'd even argue that you should start with the mindset that you won't actually try until after 3-5 deaths, and use those early careers just to get a feel for the map and ports. Since the pre-zubmarine early game is scarce in locations, it helps a lot to have an idea of how to get going. Also, it's the best time to do stuff that feels utterly, absolutely stupidly dangerous and that you won't want to risk later with a promising captain.
But at some point, the early game won't hold much mysteries for you and it'll become a chore to go through it again just to catch up on what you were at. By that point, I'd just use the save functionality until you get a first win as otherwise it's very possible the time investment won't feel worth it and you'll miss out on some lovely storytelling. From there, it's up to you to drop it entirely, go out to explore the other stories, other endings, or restart from scratch and attempt a pure ironman win.