Start with the easiest level and do it on a medium your comfortable with. It was easier for me to start online because It can tell you whether or not a number should be there or not an why. Also there are many, many solutions to a single puzzle.
In the beginning don’t worry about making mistakes (especially if your playing online) It’ll make you learn better. I personally find it easier to work in rows, columns and or squares that have the most numbers already in them. Use my way of doing it then/or find your own way. Play around even if it’s to not finish the puzzle. Overall have fun and good luck