The first peg
It is usual to place the first peg within the upper left area (marked yellow in the picture below).
The reason for this is that it is easier to compare different matches.
Strength of the first move
The effect of the pie rule is to force the first player to look for a neutral first move. But what's a good neutral first move?
Alan Hensel's Twixt First Move Statistics of over 25,000 games played on Little Golem tries to answer this question. You can get some good ideas from it, but unfortunately, there is still a lot of noise in the picture, because players tend to have favorite spots.
What really constitutes a good first play is still largely a matter of opinion, but the following table is probably pretty close to current expert player opinion of the strength of first moves:
In this table, the numbers are approximately the percentage of games you can expect to win against an evenly matched player with your first peg on that spot. Color is directly related to the number. The graph shows only one quadrant (or, all four folded over) because the board is symmetrical. The a-x column is not shown because it's not a legal first move.
The subsequent opening movesSome general, very helpful hints by Alan Hensel you find here.
From a personal (still growing) database of Twixt matches you can check the most popular opening sequences.