Personally, I think I left Pennsylvania pretty quickly. I did a few missions for quick cash (guardian and basic armor) and then left. I ended up in New Hampshire of all places, farming missions on the Navy BS. I never really knew of the whole helium mining stuff until later. And my first trader was a correo hauling artifacts to Bretonia, since at some point I'd figured out how to /restart. In fact, I might have even gotten into piracy before trading :/
So if there's anything to be taken from my rambling, I guess make the newbie-things/helium-mining more obvious?