I just started spinning classes a couple of weeks ago. I would say the most important thing is to make sure the bike is set up correctly and comfortably. Take your time before class setting up the seat height and forward/back for the correct position for your legs (instructor should help you with this) and then the handlebar height for posture.
As far as how intense the class is, remember, you control how hard the spin class is. If you feel you are starting to overexert, just slow down the pedaling cadence and/or release some of the tension on the bike's flywheel.
Some other things that I've found helpful. I use a heart rate monitor to check were my exertion level is. I road cycle from spring to fall so I like using my cycling shoes and cleats for spin. Also, wearing my cycling short. More comfortable for me.
Hope this helps.