Just did my first auction (mock) tonight... it definitely helped getting that experience under my belt.
First, go ahead and spend on a couple of top-tier guys. Don't be afraid to get up a few bucks over their value according to the site. If you like what they bring, grab them.
Second, don't freak out when there's a run on something you aren't willing to spend on. For me, this was SP. I started to get a bit upset seeing the top 10-12 SPs go off the board, but they were all going for more than I was willing to spend. There will be value at that spot (and others) later when others overspend. The mid- and lower-tier guys will get down to as low as $1 at every spot, from catcher to closer.
Last, toward the end of the auction it basically turns into a draft, when everybody has spent all of their money except for one or two people who have way too much. Don't be one of those people. Maybe hold back a couple of bucks (literally, like 3-4 extra dollars more than spots you have left to fill), but that's it. Any more than that and it's going to go wasted.
My first mock ever, and this is the team I ended up with (10 teamer):
C: R.Martin ($1), K. Suzuki ($2)
1B: A.Pujols ($43)
2B: R.Cano ($21)
3B: A.Rod ($34)
SS: E.Andrus ($10)
OF: Kemp ($33), Ethier ($17), Beltran ($5)
UT: M.Reynolds ($15), C.Quentin ($1)
SP: J.Becket ($19), C.Hamels($18), J.Peavy($2), R.Harden($1)
RP: M.Rivera($17), R.Soriano($2), B.Fuentes($2), B.Wagner($1)
Bench: M.Scherzer ($1), B.Sheets($1), S.Strasburg($4), M.Gonzalez($1)
All that... and I left with $9 I didn't spend, which could have upgraded me in a lot of places. There's a few places I would like to have changed and gone a different direction, but spending less money on a star is not one of them. Obviously, spending an extra buck or two on a star at the beginning isn't going to effect much at the end. As long as you've got the cash to pick up those mid-tier players, there's ALWAYS going to be valuable players for $1 at the end of the auction.