There are a some good books on using hobby size lathes - a lot of them come out of the UK, but if you are in the US, consider getting a copy of Doug Birney's book, The Home Machinist's Handbook. Although written for the excellent Sherline Lathes (a brand I would highly recommend, been using one for 20 years), the basic principles should guide through any brand.
Once you have the basics down, this page of tips might help too:
http://www.sherline.com/tips.htm
I build large scale (1/96) radio control warship model, and use my lathe for gun barrels, propeller shafts and bushings, details, small masts, all sorts of things. It would be very hard to build a nice model without one.