When you first arrive, read and think widely and exhaustively for a year. Assume that everything you read is bullshit until the author manages to convince you that it isn’t. If you do not understand something, don’t feel bad - it’s not your fault, it’s the author’s. He didn’t write clearly enough.
If some authority figure tells you that you aren’t accomplishing anything because you aren’t taking courses and you aren’t gathering data, tell him what you’re up to. If he persists, tell him to bug off, because you know what you’re doing, dammit.
This is a hard stage to get through because you will feel guilty about not getting going on your own research. You will continually be asking yourself, “What am I doing here?” Be patient. This stage is critical to your personal development and to maintaining the flow of new ideas into science. Here you decide what constitutes an important problem. You must arrive at this decision independently for two reasons. First, if someone hands you a problem, you won’t feel that it is yours, you won’t have that possessiveness that makes you want to work on it, defend it, fight for it, and make it come out beautifully. Secondly, your PhD work will shape your future. It is your choice of a field in which to carry out a life’s work. It is also important to the dynamic of science that your entry be well thought out. This is one point where you can start a whole new area of research. Remember, what sense does it make to start gathering data if you don’t know - and I mean really know - why you’re doing it?