Since Nelson mentioned that it was a new lathe, start by cleaning it thoroughly, using paint thinner or Varsol. Wear gloves. Crank the saddle, crossfeed and compound from one end of travel to the other, cleaning as you go.
Then oil all the contact surfaces with a good machine oil. Follow the instructions to oil bearings, etc.
Check and adjust gibbs to eliminate any slop in the moving parts. You should feel a slight drag as you turn the cranks, but not excessive resistance.
Read the manual and any other information that comes readily to hand. Lets face it, the internet is loaded with information. Then, play with your lathe. Don't try to make anything critical in the beginning. Just take a piece of mild steel or aluminum and change it's shape. Try stuff. Short of a major chuck collision, you won't break much. Take light cuts at different speeds and feed rates, then try a slightly heavier cut.
Have fun. That's why we do this stuff. BTW, I assume you are using non-metallic buckets.