Starting Tips

Always Remember Targeting Tests
Whenever your forces are attacked, check if you have a targeting test (e.g.: Manipulate, Horror). Its a good habit to establish early on, even if your force has no traits such as this (even if its to check when attacking your opponent - i.e.: asking "does it have Horror or Manipulate?" makes for great respect between players and gives a good reputation to the game). Its especially important since models who possess this trait typically need to use it for their survival.

Focus on the Goal
Malifaux is not a meat grinder (not always). Your success depends on how well your deal with the situation given at the start of a game. It is entirely possible for a crew to be reduced to near no models and still secure the win (loose the battle; win the war).

Always play to accomplish the Strategy/ Schemes at hand.

Delay your Big Guns
Use Malifaux's "You-go, I-go" design to your advantage. If you outnumber your foe, provided you don't lose unactivated models in the same turn, you will have the last activations.

This can be especially beneficial in the early game - delay moving your key players so you can see how your foe moves, then move your big guns in reflection to take them on directly or to avoid them outright.

Kill; Don't Wound
Typically a model is just as effective on 1 Wd as it is at full Wounds. When able, focus on taking out one enemy at a time instead of spreading your damage out.

Even attacks that do AoE damage should dedicate to a single target first, and the "splash" should be treated as a bonus.