Once you get them, ALWAYS have your healthstone and soulstone ready for use.
Switch to Demon Armor and Fel Armor as soon as you get those spells. Demon Armor is MUCH better than Demon Skin; and Fel Armor is superior to that as it regenerates 2% of your health over time, which is IMMENSELY usefu, and also increases your Spell Power!
If you think an encounter might get dicey, use your soulstone on yourself.
If you're going dungeoning, toss that soulstone at the healer.
As for how to play... it's going to depend heavily on your play style.
Personal Opinion:
Personally, I like my pet taking most of the attention, so I followed Demonology, which gives me access to the Felguard, which is a pretty good minion if you can get used to it. It has a stun with Axe Throw, it's Charge stuns too I think, and it's FelStorm attack is a nice AOE which rips through most enemies, but I've had my Warlock and Felguard since before Cata, so I've forgotten what abilities it starts with.
You do now have the option, once you get the command bar, to mess around with their abilities and arrange it's bar however you like. You can also command it to move to specific locations.
I'd suggest getting into cooking, as the stamina/spell power buffs you can get from it can sometimes be the difference between dying and just barely surviving.
I'd also suggest taking mining, as the stamina bonuses from it can be helpful as well, and if you don't take jewelcrafting or blacksmithing, you can sell the mats you gather on the AH for some nice cash.
Jewelcrafting can be nice, since you'll be able to USE those mats you collect, and you'll also be able to create items that aren't easy to get via quests. Socket Gems can also be handy if you can get up to making them.
If you do follow a profession, I'd strongly suggest going to <a href='http://www.wow-professions.com' target='_blank' rel='nofollow'>Wow Professions</a> to get an idea of how to progress. I'd consider it a guideline, if you find yourself with different items that you can make than they suggest, but it's competent.
Otherwise, the other profession I'd suggest would be Tailoring, since bags are always sold at a premium and being able to make better gear than what you have is nice... when you can manage it.