I'm relatively new to Malifaux as well, but I too picked the cool dude with the mask as my first master. In a similar circumstance, my wife decided she wanted to play Kirai. I've had my butt kicked a lot. Say hi to Chompy for me.
Things I've learned, starting with what's in your box: (note: this ended up being a lot longer than you'll probably want to read, but I really enjoy playing Lucius even though I'm something like 1 and 10 with him.)
The Man Himself: Learn how Slow to Die works. Especially if you're going to be facing Chompy, you'll need to know how to make yourself as nigh-immortal as you can. His defense is Not Good. Keep some kind of guardsman nearby at all times. (0) Advanced Training only works until Lucius' activation ends. Don't use this unless you're about to unleash the Fury of 3 consecutive casts of Issue Command. Otherwise, you're almost always better off using (0) Reinforcements to pull Ryle or the Lawyer up and drop them Where you need them.(1) Hidden Sniper does not have a , so you can use it when Lucius is in melee. You also don't have to randomize targets. Not a hard spell to cast, but you'll want to save your rams for your guardsmen's strikes, so this one doesn't see a lot of use.
Lastly, and perhaps most Hilariously, Lucius is Terrifying. Yes, the scrawny effete dweeb in the ascot and mask is scary scary. Think of Usual Suspects... "How do you shoot the devil in the back... what if you miss?" This makes him immune to most other Terrifying models, and helps keep him from being swarmed by the unwashed masses.
Guild guards are utility. They're never going to do anything super impressive all by themselves (aside from what anyone can do with a Red Joker) but you WILL miss them if you don't take them or let them die. Do not underestimate what they can get done with those pistols and those swords, but you'll need to work at it. Concentrate fire target by target, don't spread wounds around. Menace is also good for keeping opponents from running off with Treasure or in general running away when you don't want them to.
Ryle. What to say about Ryle? He's a walking cannon. Honestly, I don't take him often. He's pretty expensive for a model that's pretty easy to kill. See, he works best when he's in a spot where he can see several targets and use (2) Automatic Fire to get lots of chances to flip Severe damage and deal extra damage. If you're in a spot where you can see and shoot at several targets, well, they can see and charge/shoot/cast back at you. I find that 2 guild guards get more done for me. That being said, the only time I've ever killed a Coryphee Duet was with Ryle.
The Lawyer. I love this guy. Note: Chompy is not immune to Willpower duels. If you can get a shot at Chompy (easier said than done, with all the burying/unburying) activate your Lawyer and (1) Censure Chompy against Striking. Either it will work, and your opponent will have to burn cards to do the only thing Chompy does, or your opponent will burn cards and maybe soulstones to stop it from working. Win-win. After you burn cards from her hand doing this, then (1) Cross Examine him. If this one works, Chompy runs away! The lawyer is also super useful for helping with Ryle's big flaw, the lack of survivability. (1) Defense is a relatively easy cast and gives someone Hard to Wound 2.
Kingpin. Er, the Guild Captain. Yet another unassuming guy with an unimpressive card that comes into his own when he hits the table. When your SO inevitably gets some Stitched Together, you'll need his (0) Frightening Authority to win those Gamble your life duels. He's got 10 wounds, armor 1 and hard to wound 1. That's thick and chewy. His mauser damage doesn't look all that good, until you note that the damage scale isn't really 1/2/3. It's 1/2/4-5-6. That's respectable, I don't care who you are. Look up some threads on these forums for how to pull off a Companion Activation (there's a nice how-to in the Lucius Tactica in this forum, IIRC) and get comfortable with positioning yourself for the dreaded Guardsman Alpha Strike. You won't use it all the time, you won't even use it often, but you'll enjoy it when you do!
Guild Hounds are a must, imo your first buy should be 2 blisters of these puppies. Many will suggest that you add Austringers first, and they make a fair point. However, aside from Lucius' Reinforcements ability, your crew has few/no movement tricks. Guild Hounds are almost pure movement. They hit well for a 2.5ss model, and are reasonably tough too. Don't forget that they're guardsmen, and Lucius can Issue Command to them, sacrifice them to Reactivate himself, and gets +2 DF as long as there's one by his side! I and others have joked about fielding a crew that's just Lucius and a swarm of Guild Hounds. Our opponents laugh, but they don't laugh too hard. Guild Hounds are that good.
Austringers are also good, but they are expensive for a model that's very unlikely to help you claim an objective. They are super deadly however, and can be helpful for those schemes and strategies that require either killing a certain model or denying an area to your opponent.
The Drill Sergeant is a good buy. He has fantastic synergy with Lucius, and counts as a guardsman for all those nice things Lucius needs guardsmen to do. He can even Issue Command if you're willing to drop a precious SS on it. But mostly, he's good for giving the guardsmen that he's good for herding Ryle around the board using (0) Socially Repressed and Link.
I'm sure I've forgotten something, but definitely look up the Lucius Tactica on this board and give it a read.