Start with slower cars and work your way back up to the faster cars. The slow cars will not only give you a chance to think about what you should be doing, but it will allow you to practice being precise and smooth with your movements. Also if there are any AIDs on, now is the best time to get used to them being off, especially now that you have the ability for precise throttle control.
When I first got my wheel I was hopeless with it, just didn't feel right to me because of the force feed back. I couldn't understand why it would shake violently from side to side when going in a straight line, or why it would shove itself out of my hand when I even just barely touched a curb. But once it finally all clicked into place that the feedback is not simulating the forces on the wheel, but giving you an idea what your car itself was doing, my driving got a lot better.
I don't have a DFGT

, just a Driving Force Wireless (sits on your lap) but it does the job, especially because I have no place to properly set up a clamped racing wheel short of putting my tv on my computer desk and moving my ps3 over there.
Hope this helped, Enjoy the wheel!