NEVER work over a carpeted area, dremels make a HUGE mess... as it was already states get eye protection... if you wear glasses that's not good enough, you need to at least have safety glasses.
If you start working on plexiglass a simple alergy face mask would be very useful. Once you start carving on wood, you will get powder everywhere.
If you don't have a shop vac already, go get one. When you use the dremel, you will want the shop vac close by as you will likely be covered in dust when you are done.
Goto a hardware store (Ace, Menards, Home Depot... etc...) and buy a large accessory kit for your dremel. You will get a variety of carving bits and several sanding bits and 1 or 2 saw bits.
Be very mindful of the blade as it will take out large chunks of skin if you brush up against it, if your hand starts cramping up, its time to shut it off and take a little break.
When you are about to use it for the first time, practice on some scrap wood. You will want to draw some shapes on the wood with a pencil or pen. Your goal will be to carve out these shapes. Your next goal will be to carve a shape into the wood and have the wood as flat as possible when you are done.
Be careful when you buy new bits... make sure they are for dremels as router bits might look a lot like them, but they aren't. They offer drill bits but I won't ever use them. If you get hard core you will have 1 or 2 drills with built in levels for drilling straight up and down... maybe even a drill press...
Dremels are for soft materials like wood and most plastics. Do NOT use it on metals unless you are using the cutting disk designed for cutting metal.