I have several vet nightblades...I am happy to offer advice, but your question is pretty general. If you have more specific questions, reply with @davey1107 in the post and I'll see the flag and answer them.

In general, if you've never played NB this is going to be a really new playstyle for you. NBs are less about mitigating damage, and more about avoiding it all together through stealth, cloak, mirage, etc. This can make NBs frustrating for players used to other classes...give it some time if this is the case. A lot of players try to run NS like a Templar, and it won't turn out well, ha.

For sets, until you're leveled and ready to really hone the character into a specialty I don't think sets make a huge difference. A combination of seducer, julianos and willpower will suffice. I tend to lean toward julianos because I don't personally have as much issue with resource management as with dps on magblades.

Since you're quite experienced in ESO I won't outline specific bar setups, but rather will just cover some of the core skills. Impale, cloak and lotus fan are essential early on...these swap in and out in more advanced builds. Concealed weapon and swallow soul provide spam dps. For DOTs you can slot crippling grasp, twisting path, blockade from destro. Buff skills to focus on include merciless resolve, siphoning attacks and harness magic. And fear is one of the best CCs in the game. For ultimates you get one of the coolest combos in the game...soul harvest offers 6 ultimate per kill then the destro provides mass damage. Using the two together, you'll be able to proc your destro ultimate all the effing time, it's insane.

The thieves guild and dark brotherhood quest lines are a natural fit for magblades. These are good for practicing this class. The daily heists for either (which procs after completing the second main quest for either) are great for practicing your sneak skills. I wear shadow dancer for these, allowing for super fast sneak when combined with concealed weapon's speed boost.

As far as leveling, I'd run the character through every public dungeon...maybe on psijic, then I'd do dolmens, delves in craglorn, world boss dailies. That's usually where I focus on a new toon.