At Dusk

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Make sure you are in (or on) a suitable shelter or hideout with at least some wood, a crafting table, a furnace, a sword (any type will do), some food (probably uncooked meat at this point), and at least 1 torch. If you do have a bed, definitely sleep in it and cook your food the next morning - if monsters show up, you may not be able to sleep later.

It might get boring, but try to limit jumping and sprinting in your shelter, which will conserve your hunger. If you haven't yet found coal or made charcoal (but you have some spare logs), you should make some charcoal as above. Then, if you haven't already, go on to cook your food. If you've only got 3 or 4 food or you have no coal/charcoal, use planks, otherwise use coal or charcoal.

Again, on your first night it's OK to waste a little fuel to cook your first food, such as using a whole lump of charcoal for only 5 or 6 items.

If you have a couple of logs (or 8 planks) left over after making torches and a bed, you can also make a chest to stash items you don't want to carry around. If you get killed, anything in the chest will be waiting for you rather than scattered around your death site.

A chest isn't really necessary for your first night, but it will become very helpful over the next day or few.