welcome to the addiction!
Well, I find the most important thing about miles are these:
keep records that involve mileage transactions you perform.
For example, should you receive a credit card with a special bonus or promotion given by the airline it's connected to, keep the information about this until you see your miles post. Keep web printouts, emails, info on how long you must wait for these miles to post (some promos say 4-6 weeks, while others actually expect us to wait up to 12+ weeks!)
Should you have a dispute about missing or delayed miles and you contact the airline, I find having this information often helps your case beyond belief. I have had success when I had to write customer service and actually tell them the name, employee ID number, date and time, and context of conversation of all previous persons I had to speak to at customer service if I had called in prior to writing them. Writing detailed letters containing all information will help even if you have to wait. Going back and forth and having them deny you because they think they can is painful.
This stuff applies if you fly on a partner airline. For example, should you fly Northwest but your account is with Continental, you can have all miles post to the Continental account, but you ought to keep all boarding passes, ticket number and itinerary information, copies of everything involving the flight and heck, even the baggage tags they stick to your luggage! Should there be a discrepency about your miles, you could photocopy these things and fax or mail them in usually. Call it what you will, but when physically mailing such items, I have even been known to keep a photocopy of the stamped letter just before it gets dropped in the mail, and in bigger 'cases' I have had to send things certified.
Get to know some of the rules and current idiocy and over zealous style of today's obtuse airline world...
for example, should you chose United for your carrier of mile earning, note that their website does NOT allow you to book a flight on their US Air partner flights. You have to call in for these and that requires a $15 fee even though they give you no choice but to call. AND, should you try to book an award for a friend who does not have the same last name with your United miles but on a US Air partner flight, you would have to visit an airport to get his ticket or have it mailed as a paper ticket to you within 2 weeks.
People can book awards for anyone and as long as you are not bartering or selling the awards, it is perfectly fine. However, the above United scenerio makes it really hard to even do that right! You also have to pay that $15 fee (and parking and tolls at the airport) just to visit the United counter and sign a small blue card that allows them to release the reservation for your friend. It's rather annoying. Again, the reason I bring that particular one up is because each program has its own little policy-ridden (often stupid, non-thought through by management) "stoppers" so it's good to view threads throughout FT to get familiar with things before getting TOO excited.
Do shop online using the airline mileage "Malls" but do be very aware of their rules and note that the airlines promote these things as third parties only. This means no entity wishes to nor has the power to help you even though the airline's mall baited you to buy through it. The downside to using these links is that you get stuck in the middle should there be a problem with your miles gained from any transactions on the mall pages. It is once again important to print EVERYTHING and save it in folders at your home or office in case you need to do battle.
Fine print is more important now that you do mile things.
that's a no-brainer. Read the rules, don't sign up if you think they stink. They often do though so sign up at your own risk and then write in and tell them so.
good luck!

MM
PS: Welcome to Boston and go Red Sox.
Logan airport, although "revamped" in the past couple of years, is one of the worst airports there is out there. My advice is to take many drugs before going and be prepared for everything to happen to you and your flying world.