I probably shouldn't chime in here, as I can tell by reading that most of you are far more experienced powergamers than me, but I also had a sense of overwhelming doom my first several games. (Many!) I can only say that the people providing strategies are correct, this doesn't play quite like any other 4x games I've played, and I've played them all. My first tip is get Heavenfall's bugfix mod, it actually makes offensive spells work, to the point that casters are the heavy hitters in all my armies, and second, the tech tree is key. I mean, REALLY, REALLY key. Not just civ or mil or magic, but WHICH tech you choose. I naturally gravitated towards weapons tech, and had really powerful single units who were getting their butts kicked. Parties and squads are underemphasized critical techs. I also recommend 2 mil for every civ for your early game, don't do adventure at all until you have at least three cities, then do the quest tree, not the recruiting or maps tree. That will make the loot locations pop everywhere. I fund my Civilization with those things in the early game, and in the late game, monster hunters do the same thing.
Also, as another poster said, starting locations are important, and the game kind of sucks at this, so don't be afraid to quit and restart until you get a good one. For some reason the game likes to surround you with enemies more often than not, so exploring early and setting up cities at choke points can help you establish territory.
I never declare war on the major factions, usually one of the empire factions will attack me sooner or later, usually sooner. Often, however, if you can beat off his initial attack (which sometimes won't happen for 10-20 after the declarations) and then immediately counterattack, you can roll up 5-10 enemy cities quickly, as they will have only one defender each. Don't be afraid to Raze his cities, either, as the AI makes crap cities in lousy spots, often far to many, as well. (Fortifications tech lets you raze)
As to techs, with military, start with logistics, which gives you parties, (For those who haven't figured out the interface to build those, it's the buttons at the top of the build window, left side party, squad, etc. right side experience) Don't bother with weapons or armor past leather and the one that gives you the mace, that will hold you until well into mid game, as the game mechanics vastly favor 'Glass Cannons' in the early game.
I also recommend doing the tactical battles, even if they are often tedious. Using HF's mod, my casters often kill enemy armies before they can close to melee range. When it comes to spells in the early game, start with flame dart, then hurl boulder, then (maybe) imbue caster, after that, research level 2-3 back to back, so you can get chain lightning and fireball. These spells are my sixguns, I seldom use anything else, at least until I get a shard, after that, I use whatever matches my shard... HF's mod makes getting shards have a visible difference in damage, so while sometimes you still only do 6 damage, recasting the same spell at the same target gets you 60 damage second time around, at least once you get your INT above 20...
Wow, this turned into a wall of text, which I really didn't intend, but hopefully some of you who are having a hard time will get SOMETHING useful out of this...
Be aware this is not a powergamer definate win strategy, I still lose sometimes, but I generally enjoy my games, which is what, I assume, we're all looking for...