I'm in the final stages of my first finish, waiting for the Nitro to harden to begin wet sanding. My best advice, and I know you've heard it a million times, is make sure you do your wood prep. Probably THE most important step. After that is PATIENCE! I used water based dyes and Nitro lacquer from Stew Mac. Although I will say the Duplicolor clear, (blue can), from Auto Zone was actually better than the Nitro. Stew's Nitro gave me orange peel, whereas the Duplicolor gave me peach fuzz. Let's see what else,,,, I used an old t-shirt to apply my water base stain with. If you do use dyes, make sure to squeeze out your rag well. A little color goes a long way with dyes.
Like CB said, have a goal and plan it out. After I decided what I wanted to do I wrote down my steps on paper so I wouldn't skip a step which is easy to do.