The first threat to your security upon making planetfall are aliens. Use your starting units to determine how much alien activity there is in your vicinity. If aliens are found to be a problem and often surround your city research Ecology so that you can build Ultrasonic Fences around your city, keeping the aliens at bay. In the mean time always protect your workers and colonies with some kind of a military unit, so that aliens don't randomly destroy them by walking onto their tile. If many nests are close-by you might want to go down the might tree and build some soldier units, using the aliens as a resource for you to take advantage of.
Soon enough other expeditions will land on the planet and you'll have to pay serious attention to them, especially the ones neighboring you. They will take offence to you completing expeditions and settling in territory they consider to be theirs, but will apreciate you sending trade convoys to them and making them favors in trade.
If war with another major power appears unavoidable make sure to at least keep up with their highest Affinity level. Affinity levels grant powerful new units and upgrades to existing ones, and you might find your troops to be very ineffective if your opponent severely outlevels you.