Do not even start until you have done the literature review, created an experimental design (including equipment list, personal resources needed, overview of procedures), formulated a hypothesis, and made at least a cursory proposal.
See Scheduling above.
Since you are not the expert, see Literature above.
Verbalize your intentions. Go beyond discussions with your advisor if you can (at the PhD level you are generally required to defend your proposal anyway).
Most of testing is resource gathering and setup. Make sure you have tested and calibrated every piece of equipment first.
Keep a logbook. Quad-ruled composition books seem to be a favorite among professors who praise the book's sketching capability. True, but don't get a comp book, get a spiral-bound one instead. It's worth the extra cost.
Title, date and sign everything. This is usually less of a problem in the logbook, but can be disastrous if left off of plots for instance. It's better to have this done within the program of interest (to set it up for later and to save/effort time writing).
Make formal reports on some periodic interval (once a week, month, etc).
Give an oral update at significant points to an audience.
Communication:
Talk with others in your group/area. Frequently. And about more than just work/research.
If you don't know, ask! Try to investigate first, of course, but some things need asking.
Become familiar with your lab setting: where equipment is stored, who controls the equipment, when equipment is normally available, lab access, capabilities of the lab.
Personal space:
If you can get an office, that's great. Even if you have to share, it's still good.
Get a computer! Even if your space/office is at school and they won't provide one, bring your own. This is easier if you have a laptop, so if you're worried about theft, you can take it home. Take a survey within your department to estimate theft probability.
Have your reference materials on hand (see Literature above). Usually shelves or filing cabinets work nicely.
Keep distractions at a minimum - you can gossip after hours.
Personal well-being:
Exercise! That's right, a little cardiovascular workout on a routine basis can greatly reduce stress and depression. Of course, it's also good for your physical health.
Relax! Most likely any problem with your work will not lead directly to your own death or that of a loved one.
"Slow and steady wins the race."
Be social (after hours) with your group.
Do the research you like if at all possible.
Pinpoint problems early (especially personality conflicts) and deal with them directly. Do not fear repercussions or embarrassment (as long as you are not overbearing or rude).
Planning:
Don't try to do too much at once. "Live long and prosper."
Finishing research work and job-searching at the same time is difficult sometimes. Putting off the job-search until the majority of research work is done may be the best bet.
Be realistic.
Conferences and Training Sessions:
Go to them! Any and all of them, regardless of topic.
Clayton Berry, 1996.