Before you try astral projection for the first time, there are certain things you should know.
1. We live in a proof driven society and it is next to impossible to verify anything you may see, hear, do, etc. on the astral plane. If you are so blessed: work with a group, take detailed notes, and compare your experiences. It's a pain in the butt, it might require you to deal with other people you would rather not, and it's a lot of work. It is worth it. If you are not working with a group, then you are going to have to get creative in order to verify anything.
2. Doubt is your enemy. If you begin an astral projection session with doubt about your success you will not succeed even marginally. Before you begin to astral project, start by dispelling your doubts; about your abilities, the astral plane itself, and anything else that might be troubling you.
3. Sometimes the astral plane is not the astral plane. This happens frequently, especially when you are just beginning to explore the astral plane itself. You may feel like you are astral projecting and in reality be in a lucid dream or other state of altered conciousness. It happens, don't sweat it. In order to find out if it is truely an astral projection, you have to verify it somehow.
4. Not everything you meet wants to be your friend. Their are entities on the astral plane that will attack you, for one reason or another. Likewise their are entities that would rather just be left alone all together. Yes, their are entities who will be your friend as well. The trick is finding out what the entity in front of you is, and how they will react. Usually, you won't know the answer to this question right off the bat, and the only way you will know is to interact with it. At least this way you will know that you may have to protect yourself.
5. If it is all black with glowing red eyes and sharp pointy teeth, use a little sense and don't try to be its friend. (My apologies to the big black evil-looking monsters who actually are vegetarians and nice guys)
Anyone else have any advice that I have forgotten?