everyone so far has good points. however i have a few questions for the OP, such as have you played any other mini-based wargame and/or CCG/TCG.
if you have then great, that is a good starting point. if you have played card games before such as magic or yugioh (ugh cant believe i wrote that name) then you can pick up on card interactions between models. which can actually help with list building.
also if you have played a mini-based wargame or even a pc/console based rts then again that is another good starting point. as having experience in either of these can help with tactics and strategy.
the trick however is combining the two.
just a warning this may sound bad or may sound like myself and others that do this have no friends but that isnt always the case. anyway, id suggest that if you have table space (due to pets) or floor space (no pets) then set up a standard 2 player game and play against yourself. this will help you practice rules and interactions that you may be confused on or just cant remember. it will also help you with your in game tactics and setting up combo pieces (if you have any in the lists), not to mention if you make a mistake you dont have people taking the maximum advantage and can learn how to rebound from said mistake.
but the second best advice for malifaux i can give is play games like final fantasy tactics. its pretty much malifaux dumbed down, due to not having all the abilities of the malifaux world unless your running geomancers lol.
and finally try to find someone that will take you under his/her wing to help you improve at your LGS. this is usually the best thing to do if you need help as they might give you ideas that you normally wouldnt have by yourself. and check out the PullMyFinger wiki from time to time, i forget stuff alot and that place helps me out tremendously.