Here in Tasmania we are very lucky with the amount of resources we have online to use for researching family history.
I would suggest first step is head to the LINC site and check out their family history category. This first page has a hints and tips section including a video
but most importantly
I only found this the other day. It includes links to births, deaths, marriages, wills from 1803 through to 1899 and some even more recently especially the wills. Everything in one spot sure beats looking at each type of record separately and on different microfilms or discs.
Once you put a surname in the search area of the index, you can then refine the search on the left handside area to include only specific things or to exclude others.
To see what is in the book or will, just click on the cover and it will open a new window with more information – often a digitized copy of the original document.
STOP PRESS UPDATE STOP PRESS UPDATE
It also includes links to convict records and arrivals.