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It's a bit of a risk but it's at least more interesting than sitting around in your house all night, potentially more lucrative too. Sadly, unless you're running a server (or maybe using a mod) I don't think there's any MC style "sleep through the night" mechanic.
Placing a mineshaft below your house gives relative safety while doing a bit of mining. Another option for the first night is to run like mad and try to cover as much ground as possible for exploration. And who knows? Maybe you'll find something good in a chest you come across.
You lost me after "below my house". Something to terraria wiki, I suppose. Although, isn't it unsafe to have a hole in the floor of your house?
That wood platform is also good for when you are caving and need to move around the cave.
As for mining, yes, you will make many paths through the earth as you dig around. Sometimes you will come upon the natural caverns, and other times, it will be you making those paths.
Just be sure to have a light source, which you can make from wood and gel (acquired from slimes). Later, you will have other items you can equip that give off light.
With the dirt and stone that you will be digging, as well as wood platforms, you can make your way back up to the surface. However, if you want a fast way in your single-player world, just exit the map, and re-enter. You will then return to your spawn point.
After a few nights, you will be enjoying the night time also.
As a side note, at the beginning, it's good to have a weapon that swings overhead in an arc, as opposed to one that pokes out in front of you (default sword). Any broadsword will do that arc, whereas the short sword pokes. So a wooden sword or cactus sword is a very good, basic sword to have at the beginning.
Light actually makes no difference to the things that go bump in the night (or try to eat your face during the day, as the case may be.) No, the things that prevent monster spawns in Terraria are, apparently, walls. Lining all your mines with wood, on all 5 sides, tends to be the strat of choice, since wood is a renewable source. Glass wall "windows" are also often put into tunnels, above level surface, to allow sunlight to come in while keeping monsters out.
Which isn't to say light's a bad idea. It does, after all, allow you to see.