Yes - don't get discouraged if your first few teams have a hard time. You're playing against some people who have hundreds of seasons of experience. Those threads bottomlee and d_rock mentioned are very helpful. Also, look at the rosters of teams in your leagues who are doing well. See if you can learn a thing or two about what's working on their teams that isn't on yours.
One other tidbit - while it's fun to use your favorite players, a lot of times our nostalgia for them outweighs how good they really are compared to all the players from baseball history. If you're all about reliving your favorite players, then knock yourself out, but if you're really trying to win, look at the normalized statistics (with a # after them) and find the best value for the price. As much as I want to keep playing with childhood heroes like Cecil Fielder, he just isn't all that good when stacked up against other stars!