If there are enemies who are not in your view you'll see icons around your view indicating in which direction they are. If you see an exclamation mark that means an enemy is coming towards you, the closer they are the bigger the icon. If it turns red, the enemy is about to attack you.
Choose the long-term upgrades when you find a Supply Drop, so higher health drop chance or increased damage, not an armor refiller unless you're really low on your health.
You won't hurt your squad members with friendly fire so feel free to spray some havoc.
The squad follows you and positions itself based on your position so if you run forward and then behind the squad they'll position themselves in front and will serve as a shield for you.
Between Waves - Take advantage of that time to stock up on supplies. Don't forget to backtrack to a previous area if the local drops aren't offering what you need.
Squad Assistance - Your fellow squad members will back you up nicely, but it's better to get them to lead the charge by heading forward, then quickly falling back.
Squad Assistance 2 - Let your squad lead you through dangerous areas. They'll take aim at foes you might not even know exist, and that can save you from potential ambushes from behind or along your flank.
The Right Tools for the Job - As in most multi character games your characters each have their own strengths and skills, and you need to rely on those capabilities at the right time. You get to play as each of the three characters, in the order you specify. Start with a character you aren't as comfortable with, finish with the one with whom you can fare better against the more advanced adversaries.