Well, I realize this is a pretty old question, but since it's been bumped I'll add some links which helped me during my grad career. The first two are written by a guy with a computer science PhD, but I've found his advice useful for math as well:
3 Qualities of Successful PhD Students, 10 easy ways to fail a Ph.D., Productivity Tips
I keep the last two links on my favorites list so that any time I'm tempted to procrastinate I can see them and remind myself to get back to work.
Another nice collection of advice online is Dianne Prost O'Leary's Survival Manual. It covers everyday life as a grad student, finding an advisor, starting research, thesis writing, and even beginning your career. Bonus points because the section on Maintaining Sanity mentions Imposter Syndrome, which affects basically every grad student I know and is worth being aware of. Also, Chapter 8 on research makes several valuable points, most significantly how to become an active reader (which is similar to advice from Ravi Vakil about attending seminars).
Finally, the University of Indiana has a great collection of advice for grad students at all levels. For example, here is a paper on How to be a Good Graduate Student which has useful advice about the daily grind and about beginning research. Here is one they link to called Tips for Ph.D. Study which I've found useful (especially for writing).
