If you do not have a preexisting tendency for depression as a result of taking ideas seriously, you probably have nothing to worry about. If you are already a reductionist materialist, you also probably have nothing to worry about. Millions of college students have taken courses in existentialism. Almost all of them are perfectly fine. Even if they're probably pouring coffee right now.

In LW terms, it may be useful to brush up on your metaethics, as such problems are usually most troublesome about these kinds of ideas in my social circle. Joy in the Merely Real may also be useful. I have no idea how your instructors will react if you cache these answers and then offer them up in class, though. I would suggest not doing that very often.

In the event that the material does overwhelm you beyond your ability to cope, or prevents you from functioning, counseling services/departments on college campuses are experienced in dealing with philosophy-related depression, anxiety, etc. The use of the school counseling services should be cheap/free with payment of tuition. I strongly suggest that you make use of them if you need them. More generally, talking about the ideas you are learning about with a study group, roommate, etc. will be helpful.

Eat properly. Sleep properly. Exercise. Keep up with your studying. Think about things that aren't philosophy every once in a while. Your mind will get stretched. Just take care of it properly to keep it supple and elastic. (That was a really weird metaphor.)