It has been all written in the utorrent help files and forums. Easier to go and read from over there than wait here for bits and pieces. And it also depends on your preferences and decisions, as the default state isn't quite as optimal as with some other clients (not that there wouldn't be things to tweak with all of them).

But the most important things probably are setting some optimal caches for read and write. That's something to do first, or something to do at least, if nothing else.