Call of Cthulhu is not an easy game. Instead of leveling up like in D&D, any increase in power is checked by, in the very least, a deteriorating mind. It's a real challenge to roll play realistically a character the player knows is doomed. So I thought I'd write up a couple of notes that might help. 1 Be prepared. Boy scouts got it right. Have a plan, have a backup plan, and have one for when those two don't work (and they won't). Do your research and scout things out. When do you want to learn that the warehouse you just broke into has a security force inside? When do you want to start reading the mythos tome with the binding spell for the monster that the cultist just summoned? Don't get yourself into anything that you aren't ready to handle. Only fools rush in.
2 Delay at your own risk. What, you think the bad guys are waiting for you to gear up? Act with the tools on hand. If you don't have what it takes to deal with the cultists while they are summoning monsters, then you really don't have what it takes to stop them after the creatures get summoned.
3 The authorities are your friends. You pay your taxes. Who do you think is better able to shut down the midnight ceremony in the museum of those dozen cultists who are murdering children? You?! If you can show the cops that illegal crap is going down, let them kick in the doors and unload their shotguns. That what they're there for.
4 Trust no one. Do you really want to explain to the cops how you are trying to save the world from evil gods? What do you think is going to happen when Johnny Law gets a look at your mythos tomes an alien tech? If civilian leadership could handle this stuff they would have thousands of years ago. And just imagine the Bush II administration with the Necronomicon! Remember, the end of Raiders of the Lost Arc was probably a best case scenario.
5 Guns don't kill people... Hell yeah they do, but then again you are people too. A bullet to the head is great against the magic using high priest of Yog-Sothoth. But know your level of firepower. Sometimes a couple of dotty old professors with handguns can deal with the situation; sometimes you need to hire a goon to trigger the dynamite. This is not a treasure hunt; you can't worry about what will be lost if you burn a temple to the dark gods to the ground. Nuke the site from orbit as Ripley suggested in Aliens and you won't retrieved any goodies, but you also won't lose lives.
6 Knowledge is power. To defeat the mythos you must know the mythos. It is a sad reality but there it is. Bullets don't do anything against Yog-Sothoth. The reason why the mythos drives people mad is because it both totally contradicts all human notions of reality and triggers DNA level instincts of flight. But only it has the knowledge to counter what is happening. Don't discount using the same books and artifacts cultists use. Beg, borrow, and steal what you need. Corpses are great to ransack, but you can't find anything in a pile of ashes.
7 Out of sight, out of mind. The mythos causes insanity; is that something you really want to delve into? The reason why the mythos drives people mad is because it both totally contradicts all human notions of reality and trigger DNA level instincts of flight. Ignorance is bliss; avoid what you can, it's much safer that way.
8 Never surrender. You are going to save the world; there is no one else. Having your head in the sand won't change anything. It's all or nothing, do or die. Cthulhu doesn't care if you were involved in the attempt to stop it or not; either way you aren't safe.
9 Crazy is as crazy does. Don't expect cultists or mythos creatures to be predictable. Charles Manson is too put together to worship the likes of Azathoth, and alien beings are just that. Expected the unexpected and throw those preconceptions out the window.
10 Focus, Grasshopper. CoC isn't D&D but that doesn't mean you are powerless. Remember what your characters can do and get use to standardizing actions and calling for rolls. The mythos is pretty predictable: cultists are insane and the beings they serve just want destruction, this gives you the edge of rationalism. Use it to you advantage.