Players ARE going to do something you didn't expect, and from your perspective it IS going to be completely nonsensical and insane. That's because they don't know all the details.

Try something simple, with a defined goal, and fairly straightforward for your first session- kobolds stole something, party has to track them to their underground warren and get it back, for instance. It doesn't have to be fancy or even original, just run with something like this so you and the players can both get familiar with the rules.