There are newbie games organized fairly often. They're a good place to start MP. You're not up against veterans who know all the optimized tricks from the start, but you get a good intro to what mp play is like.
The other standard caution is that games will last for months and turns can get long and involved in the late game. Don't get impatient with only having 5-10 minutes of play a day to start with and sign up for a whole stack of games. You'll regret it when turns take 2-3 hours. Then you'll drop a bunch of games and everyone will be mad at you.
