Pack the items you'll need before you leave for the auction. Some suggestions:
Dress comfortably. Remember, it might be hot/cold outside but the air conditioning/heat might be working overtime inside.
Eat something before you go. There's a good chance you won't have access to food while you're there.
Save a seat before you look at the preview. Popular auctions fill up fast, and you will want to be close to the front if you are bidding. This is one time where it's good to be the teacher's pet.
Ask what types of payment are accepted, if the auction house charges a buyer's premium, and inquire about hauling/delivery concerns before you bid.
Don't bid on anything you don't examine in the preview. Unless you really, really want to.
Pay attention! Make sure you know what item number is being bid on at all times, or else you might end up taking home that 1972 Formica table instead of that 1850 antique one.
Raise your paddle to bid. Once you've been acknowledged, further bids on an item can be made by a nod of the head, etc. Don't worry; sneezing won't accidentally put you into the poor house. If you're traveling to the auction, make sure you have a way to get the items you purchase packed properly and home with you. Remember, bubble wrap is your friend.