Johnicholas comments on Open Thread: December 2009 - Less Wrong
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I have some advice.
Pay attention to the timing of your edit/compile/test cycle time. Efforts to get this shorter pay off both in more iterations and in your personal motivation (interacting with a more-responsive system is more rewarding). Definitely try to get it under a minute.
A good dataset is incredibly valuable. When starting to attack a problem - both the whole thing, and subproblems that will arise - build a dataset first. This would be necessary if you are doing any machine learning, but it is still incredibly helpful even if you personally are doing the learning.
Succeed "instantaneously" - and don't break it. Make getting to "victory" - a complete entry - your first priority and aim to be done with it in a day or a week. Often, there's temptation to do a lot of "foundational" work before getting something complete working, or a "big refactoring" that will break lots of things for a while. Do something (continuous integration or nightly build-and-test) to make sure that you're not breaking it.