A few things to keep in mind:
1) Here is a very important phrase that you MUST memorize: Free is the Key. Conveniently, it rhymes (thus aiding in your memorization). In an attempt to rope people into casinos, Vegas offers a plethora of free things in which to participate. If you are going with a group, have each member bring a small list of free things to do. This will add a bit of surprise and spontaneity to the mix.
2) Consider your food choices. McDonalds may very well become your BFF. The dollar menu is difficult to beat, particularly the (refillable) soft drink. In addition, block out a period of time in which you can hit up one of the (in)famous Las Vegas buffets. Be careful on this one - don't get pulled into one of the fancy, expensive buffets. The more time you block out for this endeavor, the better. If you can stay for multiple meals, that is ideal. Finally, bring snacks! There is absolutely nothing wrong with slipping your favorite sandwich slash vegetables into your bag for consumption later on in the day.
3) Pictures, pictures, pictures. It is very important to document each and every adventure you have in Vegas. Chances are very high that you will encounter things there that you will not ever come across in future activities. Documentation is key to proving that you did, in fact, hang out with the Blue Man Group or witness a "family friendly" pirate show. If you are feeling especially awesome, bring along a compact tripod so as to capture photos of your whole group. Finally, try to make it clear when you want to take pictures of the scenery, and not the people you are with. Trust me, this will save you some awkwardness.
4) The Buddy System is always advisable. While this is just a general life policy, it carries double importance when walking the Strip. While most people are harmless, having a buddy around will lend the appropriate moral support needed to brave the crowds of people attempting to give you their "business cards."
5) Here is a tip that you will want to pay close attention to: parking is free at the hotels on the Strip. Yes, that's right - FREE. Refer to #1. As you already know, if something is free, you must take advantage of it. The entire Strip is roughly three miles long; meaning that in any given day you could easily walk the equivalent of 117 football fields. Parking at a central location on the Strip is generally a great idea.
6) Pay very close attention to cab fares. 1/12 of a mile could easily be mistaken for 1/2 of a mile, which would increase the cost of your short ride exponentially.
7) Coupons are great. An important lesson here: use discretion when seeking out coupons. They are EVERYWHERE, but few are worth picking up off the curb. Free ice cream and $5 off of a meal at Denny's are among those worthy of coupon hunting.
8) Embrace the free activities you do. To be real, there will likely be events which do not quite measure up to your expectations. It is important to remember, however, that the things you are doing are FREE. In the end, free is free. And free is awesome.
9) Awkward moments are totally fine. Own them.
There are many more specific lessons to be learned from the lovely Las Vegas, but these are the basics. Above all, find a great group of people to explore with and be sure to document each and every free thing you will do. You won't regret it in the end.