Welcome!
Most folks like to put a couple hundred pellets through before they get too serious about sighting in. Cleaning the bore with a pull though and some patches is a good idea too. Check that your stock screws stay snug (they like to vibrate loose) Don't overdo the tightening, snug is good enough. You can compress the wood in the stock or break the screws if you overdo it. (ask me how I know!) Many guns will diesel a bit before the excess oils are burned off-you'll hear a crack and see smoke coming out of the barrel. Just keep shooting it till it stops.
Above all, test different pellets to see what groups best in your gun. JSB, H&N, Crosman Premier, and RWS are some of the better brands. Usually domed pellets will be the most accurate. If your gun came with a scope, chances are it's not too good, but try it anyway. If the gun has open sights, use them first to see how the gun is grouping, once you start getting decent groups you can mount your scope.
Good luck and shoot safely,
John