Since I've done 1 live draft and that league just finished (Fireside), my thoughts:
1) I had the #1 pick and got W Mays - so far so good.
2) I set proxies (not really knowing what to expect) - and, uh ohhhh.
3) I got H Aaron, Yaz and about 3-4 other OF's with picks 2-7
4) I screwed myself not drafting P's well
Team mercifully finished 72-90, 3rd place, 17 games out.
My advice:
1) Make sure you're available to check the boards when it's your pick - I was traveling and my proxies went wild.
2) Make sure you know what your proxies are going to do - good luck with that one, cuz I still have no idea what happened, but I'm blaming that on me being in Amsterdam for most of the draft.
I figure by about my 5th live draft, I'll figure something out... but it sure is fun. Good luck!