I can imagine this is one of those kinds of things I can't go back to later. What should I keep in mind when playing it? If there is anything that can be said without spoiling the story then what is it?
Like for example the sierra madre chips. Should I be saving them up or should I spend them? Although survival is no problem atm, I have tons of guns, ammo and food / stimpaks.
What kind of things are a one-time deal that I should get? For example the snow globe etc...
MAKE SURE YOU GET YOURSELF BANNED FROM GAMBLING AT THE SIERRA MADRE. The last comp is one of the most important items in the entire DLC.
Talk to everyone, twice, three times if you have to, be nice to everyone, they sometimes have surprising benefits and information to give you, which can make your life in the 'madre way easier.
Have tons of free inventory space, you can't come back so if you want to keep unique DLC0-only weapons, you have to carry them out with you. There is... another reward as well that is very, very heavy, thankfully it's split up into smaller chunks you don't have to take ALL the treasure of the sierra madre, but don't you want to? If you have a choice of doing the DLC now or playing in the mojave long enough to afford the +STR implant, go for the implant.
If you followed my advice above about getting banned and talking to everyone, once you're back in the mojave the sierra madre chips will come easy. Don't be a miser and don't be afraid to spend what you've got to make your life easier. Look around carefully for holotapes too, some of them can make those vending machines a WHOLE lot more useful.
You will not have much ammo or stimpacks. Consider with those five extra levels you get putting some points into survival. Food is plentiful, stims aren't. Likewise even with a melee skill of 25 you're better off not wasting your precious ammo in many places.
and perhaps most importantly: situational awareness is the key. The casino grounds have many areas designed to make you want to rush. You'll be taking damage over time from toxins, have explosives with short timers tied to you, have very tough enemies chasing you. But the place is a maze and there are plentiful traps too. It's designed to make you rush, when you rush, you miss things, when you miss things, you die, or worse, forget to loot an item you can't get anywhere else. Look before you leap, scout out where you're going, but know when it's time to book it. Sometimes there's only seconds to spare to run down a certain passageway without getting blown up, keep a quicksave handy at all times.
And good luck unlocking the greatest treasure of the wastelands... hope you live to spend it.