The best thing that you can do is to experiment ALOT. Everyone will tell you different ways to make your characters, but just about anything can be made effective, so find what works for you.

That said, there are a few general tips you might find useful:
-Like Mullet said (by the way Mull, you have the most hilarious freakin avatar I've ever seen), Gained JP Up is essential in the early stages.
-Make sure you buy new equipment every so often - your enemies usually have stuff as good as or better than what you can buy in shops, so you don't want to get too out-gunned.
-Keep a healer (chemist, priest, monk) on the field at all times. Later on you can survive without them, but while you're learning the game, you're likely to incur a few casualties. Unless you lose a character permanently, don't sweat a couple deaths.
-SAVE OFTEN! And make sure you don't overwrite a save until you're certain. Keep at least one save from each of the early chapters in case there is something you want to change or redo.
-Accept any of the special characters that offer to join your party. Some players don't like them; some players love them. On your first play, you should at least use them a few times each, so you can decide for yourself. You can always delete them later, but you can't get them back if you reject them or delete them, so give 'em a try first.
-Don't eat yellow snow.

Have fun. Feel free to post further questions, observations, whatever.