This is a short section, but hopefully it grows as time allows and things come to mind. So far, my only tip is to clean all mould lines and flash from a bit before proceeding with assembly or conversion. It may put a big damper on your excitement; if you're like me, you want to throw some bitz together and see if you like the result, and you don't want to spend hours cleaning the parts first. But learn some patience, because the parts are easier to clean before they're assembled, and you'll do a better job of it too. Put in a movie and listen to it while cleaning, it's much easier.

There are nice hobby tips in White Dwarf and at Coolminiornot for doing things like backscraping with a hobby knife, etc. Read those articles even if they seem novice, because you may find some little tip that helps you.