Congrats on your purchase! You'll quickly grow to love your baby.
As for disconnecting:
DO NOT DISCONNECT IT WHEN IT SAYS "DO NOT DISCONNECT". It's self-explanitory and a no-brainer. You need to let the songs transfer over in their own time. Once it's finished, if you have auto-sync set up, normally it will display "Ok to Disconnect". ONLY THEN can you safely disconnect!!
If all the files are transferred over and it still displays "Do Not Disconnect" go into iTunes and manually eject it from iTunes. It will display "Ok to Disconnect".
Read the manual. This stuff is covered in detail as well as a ton of other stuff that you'll need to know about. Good luck.