To add on that: Gather all you can. Most of it will be useful at some time.

And the most important tip: This is not a race. Take your time. Be properly prepared. Always be well fed. Food is as important as armor in this game. Don't skimp on it. You will slowly heal, when you've eaten, which you will not on an empty stomach.

This game doesn't hold your hand very much, so be prepared to die. And if you die, you will lose ALL the belongings you were carrying at that time and you will be waking up in your last bed, or your original spawn place with the five stones.

You will need to journey to where your tombstone is, and gather your belongings. Everything should still be there. That's why it is important to always have a small base nearby when you go exploring, so you don't have to go too far.