I have a similar feeling to you @Majora, also playing on hard having never played a FE game before. I think i need to invest a bit of time reading all the stat menus to try to get a handle on how my characters should upgrade, what the best weapons to use and what abilities/classes they should have.
Currently just past the first proper battle at the min, and lost a few of my characters (Hubert, Caspar, Bernadetta) stupidly after wasting my rewinds as well.
Might have to replay the battle as i saved prior just in case.
How important/worried should i be about losing characters?, I think im just afraid if losing someone who might be crucial to have at a later stage.