It turns out that she had misplaced her stat cards - no problem, I figgered, I'll just make copies from the book. We didn't have a Malifaux-specific card deck - no problem, we'll just use a standard deck plus Jokers. We didn't have any scenery - a search for random objects made a passable selection to cover a 3'x3' area of table. We didn't have any way of keeping track of Soulstones or statuses - some rummaging produced enough glass beads that we had enough of both on hand (mostly the status changes would be effects from Rasputina's magic, near as I could figger - but, we had an assortment of colors, just in case).
We set up the play area, alternated placing terrain (a la Warhammer 40K scenery rules), decided on a 30 Soulstone limit so as to allow for some Upgrades and an extra cache of stones for each of us, flipped for deployment (Corners) and settled on the Turf War Strategy - we opted not to pick Schemes, because at this point, we were already an hour into things with no game yet, and my 10-year-old daughter was starting to get bored.
Here's a picture at the end of the First Turn - she decided on being Second Player after we flipped for Initiative, we both moved our models, and the next turn it looked like the action was really going to begin in earnest! Unfortunately, I had overestimated her patience and the amount of time we had - the game was about called "done" at that point.
Have everything together ahead of time - tokens (we had none), stat cards, models, and scenery.
If playing for the first time, smaller is probably better - neither of us we're really familiar with the rules, and we probably would've had as good a time taking a token model or two each (Minions, say) and just using those to get a sense for the different interactions.
Never underestimate the amount of time it takes to get set up - there invariably will be something lost, missing, or in need of clarification.
Have fun - I enjoyed myself, but I think it was more the anticipation of things to come as opposed to the actual game (which cut off abruptly and didn't quite pan out like we both had hoped.) if you have to go smaller or trim out stuff to get momentum going, that's probably better than the "boring stuff" dragging on due to lack of preparedness.
Know the rules - While I'd given the rulebook a cursory read, it wasn't anything near thorough enough to play a game. She'd never actually read the rules, so it was up to me to introduce all the concepts ( most of which I was a bit shaky on to begin with).
Not the greatest first game but not a horrible one, either. Hindsight being 20/20, there's a lot of things I would've done differently - I suppose most of this holds true for any game system.