our group play a lot of SW, and are in the 6th session of playing the SK plot point campaign
1. make sure you know how damage, shaken, soak rolls etc work, and it still confuses us a bit and what being a 'wild card' means to a bad guy!
2. ganging up is good
3. grenades in SK have caused no end of fun n frolics
4 Swarms, let me know your version of how they work!
5. Healing. Is quite hard, especially if your healer is hurt!
6. when creating a character whether its SK, deadlands, pirates, pulp etc in SW, you never feel as they you have just enough points to exactly make your concept.
7. Not really a spolier, but in SK there are some horrid things out there, so make sure everyone has at least something in 'guts'.
I really like the way the SK plot-point campaign works.
Most of all have F,F,F
1. Shaken is for me also a bit difficult to remember. But it should be: If you are shaken, decide at the beginning of the round, whether you want to roll willpower or spend a benny (i hope this is the term in English rules too). The benny immediately gets rid of the shaken state and you can act normally. If you decide to roll: Success means shaken vanishes after our action. Improved success (also don't know the English term, it's a success with 4+ over DC) let's the shaken vanish immediately and you can act normally this turn (as if having spent a benny). Damage is really easy: Roll damage, add up all dice and bonuses. Subtract the damage reduction of the target (incl. bonus from constitution and armor etc.). If the result is larger than 0, you do damage. 0 to 3 means the target is shaken. 4 to 7 mens shaken and one wound. 8 to 11 two wounds and so on.
A bad guy wild card gets the d6 wild die and dies after having taken three wound instead of on the first wound. That's it. My estimation ist: One wild card is as good as three non-wild cards in combat (assuming to have the same stats).
2. yep, yep, yep. If you just manage to "inflict" a shaken on the enemy, that might have vanished before you may fire again. So, if he is shaken, take him down!
5. There as mentioned afore, the healing skill is vital. You really need two guys in the group to have the skill (second one as backup) and they should have at least d6, maybe one evene d8 or some other bonus. One healing attempt takes 10 mins and you can heals, as said, only one hour after the wound has been taken. So you have 6 tries per character that has the skill (unskilled with 1d4-2-wounds, even with the wild card d6 doesn't help a lot). If the healer has wounds, this also affects the roll, so healing then really is hard.
SW also has a relatively low power level at start. Especially with talents. You never have enough at the start.
You should have some constitution, because it directly works as "damage reduction" or you need a really heavy armor, which might be a problem when having a low strength. In my campaign no player has less than d6 con, even the scientist. In ranged combat dive for cover! The +2 makes a large difference, especially in the beginning when everyone only has ranged combat d6. He will need a 6 to hit and has most likely no other bonuses to his roll, jsut the d6 (or two of them, if he is a wildcard).
A build hint (althoug you didn't ask for it

): Static bonusses to skills are seldom found and help a lot, I think. that's why I think charisma might be a problem. With talents you may have +6 charisma, which adds up on ANY roll for social skills. So you have an automated success and a good chance of an increased success (just roll a 2 with two dice).
All in all I think the system has no real bugs. It is fast to learn, absolutely straight foreward and easy to handle. I, as a GM, love it. But in our campaign we only have ranged combat and that seems a little boring to me. Tricks and mindduells help with hitting opponents, but it only makes sense when having enemies that are hard to hit, I think. But I guess if it involves melee, it will be a lot better. There are also many talents for that.
I don't know the SK campaign, so if there if there are any supplemental rules that override the original ones, my hints may not be valid anymore.