Six lessons.... and two bonus points.
1)
Focus: Know what you want to do. Who your customers are, what value they want to buy, how they like to buy, and why they should buy from you more than they buy from your competitors. Get as much real data as you can, for example, run your business as a "hobby" for a while to learn the ropes and figure out how the pieces go together. Don't give up your day job first!
2)
Sales and Marketing Process. You'll sleep comfortably in direct proportion to the cash flow you have coming in and the predictability and level of potential business in your pipeline. Figure out in advance how you will sell and market and build demand and customers. A lot of people assume "if we have a business, they will come." Wrong, wrong, wrong, most of the time.
3)
Do a budget. Know what you can afford and what you can't. Concentrate your resources in places that will produce sales and cash flow fast. Keep things simple.
4)
Funding: Have at least six months personal and business expenses in the bank. A year would be better. This will help sustain you through the slow times as you start and help you avoid the temptation to make stupid decisions because you need to eat. Have your "back up" funding sources in place. A couple of extra credit cards is how I did it. But, having a home equity loan or family money or friends who will help you is also a relief.
5)
Set up your book keeping. A lot of small business owners use a shoe box as their record keeping method. Buy Quicken or Quickbooks, learn how to use it, set up real files, and start your record keeping etc. the right way from the beginning.
6)
Find a mentor, someone you can go to with your questions and who has the type of experience you need to answer your questions. Probably not your attorney or CPA. Probably someone in a similar business.
Bonus points: Be prepared psychologically and financially to go "belly up" at least once in the first three years. I tried that three times in the first seven years, it scared the h*** out of me, and I'm really careful now about managing the business. Finally, read "The E-Myth, Revisited."
Hope that helps!