I started designing the first level, to get an idea of how the gameplay is turning out. The game is really fun, even right now. Designing levels for a shooter is so much easier than for a platformer. For a shooter, all you have to do is put the enemies in different waves, attacking in different patterns, and it will be fun.
I figure next I'll program the score counter, lives, and score multiplier. That way, I can move on to designing the levels.
I always think it's best, when learning a new framework or library, to pick up a book on the subject. I did with Allegro and SDL, and now I plan to with XNA. This is the book I'm currently looking at. I just want a book that will go over the features of XNA, also going into the 3D aspect of it.