It has been said before, but it bears repeating: running a record label is a learning process. When you commit to starting a label, commit to riding out the ups and downs. Sometimes things are going to go wrong, even if you do everything right. The trick is not letting the disappointments derail your overall progress. It may sound a little cheesy, but staying positive and rolling with the punches has a lot to do with keeping your label running in the long term.
Don't overshoot or bluff your way through things you don't understand. If you don't have a lot of music industry experience and need to learn on the fly, then asking questions and being realistic and honest about what you don't know is the only way to gain the knowledge you need.
Be honest with your artists about what you can provide and what you can't. If a problem crops up, be honest with them about that, too. Bad reputations in the industry are almost always derived from dishonesty.
Unless you've got a nice financial cushion in place, starting a record label almost always means getting into some debt. You can soften the financial freefall by being smart about the way you spend your money. In other words - spending on promotion? That's an investment in future earnings. Spending on a yellow vinyl 10" pressing? Not so much.
Don't chase trends. Focus on releasing and promoting quality music, nuturing your fanbase and being good to your artists. Things tend to fall into place when you focus on the basics.
Be creative. Cheap and cheerful solutions to things like artwork often turn into a selling point rather than a negative. It's not about razzle dazzle and slick stuff - it's about good music.
Treat your label like one of your artists. Promote your label name and build an identity.
This is supposed to be fun, remember? Enjoy it!