Some early game tips:
Find clay deposits before settling anywhere and mark any you find in your travels, it is such an important resource. Make pots and bowls to make much better use of food and make a water-proof oil lamp from animal fat and a bowl!
Collect as many saplings as possible from shrubs and trees before cutting them and always replant them! You can turn a scrub land to a (less wolfy) forest with such a small effort. Consider doing this right as you are leaving spawn for the first time as you may likely return to the spawn area and can now harvest much needed materials.
On the coldest nights without warm clothing you can put yourself in a cellar (even a 2x2x2 hole sealed with dirt) to keep from freezing to death. If you make your base of 7x7x7 rooms or smaller, they can all act as cellars provided that you give them proper solid doors.
You can use solid trapdoors as insulating windows for cellar rooms without needing glass.
Learn to prospect (check for density no closer than about every hundred or so blocks when starting to get an idea of whats around) that you can make use of a prospecting pick when crafting your first copper tools. Pick, hammer and prospecting pick. You need a lot of copper for your first anvil and then the saw should be your next tool to make boards for so many useful items.
If you don't yet have a bucket, make use of ponds and lakes to provide water for vertical shaft mining. Deep lakes can also reveal layers of rock types and sometimes valuable mineral veins without being as dangerous as caves.