Here is the official Ledger Wallet video tutorial on how to configure your new Ledger Nano S.
It shows you how to backup the 24 words. This step is really important to ensure that you will be able to recover your wallet in case of loss, damage or theft. These 24 words provide you the ownership to your coins if you ever lose your device, or forget your PIN code. It is the only backup of your wallet. If you don't copy them and store them very carefully, you will lose your funds.
This video has been shot with a Nano S 1.2. The dashboard for firmware release 1.3 is slightly different, but the configuration set up is the same.
Another great step by step guide by Bo. Recently updated 3 October 2017.