As soon as you enter the world it is best to start chopping down some trees. Turn it into planks then make a wooden pickaxe. Mine stone( if there isn't any stone make a small staircase into the ground) to get stone tools,that way you haven't wasted wood on wooden tools right when you got an upgrade. Then it is good to explore your world.(if you find coal it is a good idea to start mining ,for torches and sheep for wool!). Once you have explored it helps because then once you have built a proper home with loads of shops and stuff you have built you will already know where the different biomes are. After you think it is getting dark you know you should build a house. By now you should hopefully have 3 or more pieces of wool to craft a bed with a crafting table. Remember, it doesn't need to be a nice house ,as long as it keeps you safe!