learn how to use layers and the rest is easy as pie. also, Paint Shop Pro is nice, but if you can afford to get Adobe Photoshop, its a worth while investment.
even though there is undo levels, make different saves periodically so you can go back to a point if you wish later.
save as a gif when you can. they are smaller and if used correctly can look just as good as anything else.
make use of the gif,jpg and png optimizers when saving. they let you get a preview of the output in the compressed format you are using.