first major lesson is to not use smash attacks all the time. Basic A button combos and tilts do great damage too and can lead into combos that will net you much more damage than that smash. Plus, you'll get punish pretty hard for spamming smash attacks.
Definitely sit there and do 3 stock matches against cpu's at the beginning. Start with the characters you like the most, then start going through the roster. Then go back and play around with the characters that actually seemed to fit your style the most. Polish them up a bit, then try out the others. Even if you aren't good with them, getting to know their capabilities better will really help you figure out how to fight them with your mains.
And play against people. Many times you won't know how good a character can be until they stomp you with moves and combos you didn't expect.