Considering this is a large investment for a phone, I'd get a protective case and screen protector before I started to use the phone. If the phone gets dropped or damaged during use, it is a waste of money. Protecting your phone should always be your first priority. No matter what electronics you buy it should always be protected from unforeseen events.
After my new phone is in a nice shock resistant case with a good screen protector, I'd start to configure my phone. Setting up my phone would be my second step. I like to have all my contacts and information stored back on my new phone before I started to add anything else.
After this it is time to check out the phone and see how the new camera works.