Use common sense. Beware of pickpockets - don't keep your wallets in your back pockets. In fact, it would be better if you just put some cash, your id, and a credit card in a safe place where it can't be grabbed easily (such as a travel pouch around your neck) because there will be people everywhere. Leave your wallets in the in-room safe.
Don't mess with the NOPD or their horses.
If you are just staying in the FQ, don't rent a car. Or get one just for the days you need it. It will be almost impossible to park for the big parades. And if you do park, make sure you park legally b/c the tow trucks will be out in force.
Eat a slice of king cake. Or buy a whole one.
Oh, and remember where you got your shoes.