PiT has a good post about what to do as a junior faculty member once you get the keys to your lab, which I think it spot on. I won't belabor the points she brings up there because you can read it for ourself. Instead, I'll take this opportunity after 2 years on the job to reflect on what I screwed up.
Think of this as my "What I would tell two-years-ago-me if I had a time machine*" post.
The first thing I got wrong was deciding to strike out on my own and start an entirely new research program with little carry over from my previous work. Don't get me wrong, I really like the directions we have gone in the past two years, but this decision has killed me for funding. Coming from another country into the US system, I greatly misjudged the amount of "preliminary" data required for the proposals I was writing. It was my fault for not taking more time to understand the system, but I wasted a lot of time in the first year writing grant proposals that had no hope of getting funded, simply because I didn't have the data to back them up. If I had taken a ready-made project from my postdoc I could have used that to get things going while working up the other facets of the program.
Another consequence of this is a publication gap. I've had a few pubs out since starting this job, but nothing substantial that I can point to and say "look at all the cool shit I am doing!" This is not a good thing. It's not a killer, but I could have planned better.
The second thing I got wrong was not burning my start-up with a flame thrower. I have certainly blown through a ton of cash since starting, but for someone who didn't have enough preliminary data and has cash in hand, I didn't act fast enough. Eventually this message got into my head, but I should have been more focused on cranking out data on a large scale right off the bat than I was.
All in all, I think these two points probably set my proposal getting back a year (hopefully not more...), and had I done more on either front I could have saved myself a lot of aggravation, but live and learn. So, if you are starting a new position right now I would strongly encourage you to think about the data you need to make a good proposal and spend whatever it takes as soon as possible to get those data in hand.
*Other than, ya know, the lottery number that week.