The largest penalty is reserved for unanswered questions (this can only happen if you run out of time; you cannot skip questions). So, short answer: NEVER leave anything blank on this test. If you have to, guess on every remaining question.
You will still likely have a fairly large penalty even if you do guess, though. It's
critically important on this test to put yourself in a position to be able to attempt every question. (Note that I said "attempt" - I didn't say "answer correctly." You will answer approximately 60% of the questions correctly, unless you get a very high or very low score on the test.)
The penalty for unanswered questions is approximately 3 percentile points per question. The penalty for a string of 5 questions wrong in a row is typically about 2 to 2.5 percentile points per question. This can vary based on many factors - the penalty for answering a particular question incorrectly is not the same for every circumstance. For instance, you will experience more of a per-question penalty if you have a string of wrong answers in a row. You will experience more of a penalty if the question is of a lower difficulty level relative to your calculated score to that point. And so on.
You don't need to understand absolutely everything about the way the test works, but it is important to understand the basics because the test is very different from the paper-based tests that you are used to taking. If you don't understand those differences, your score will suffer.
First, log in to your student center and look for the free e-book The GMAT Uncovered. (For those who are not yet students with us, you can get this e-book for free by signing up for a free practice test with us - the two come as a package deal.) Anyway, read that e-book; it will give you the basics.
Next, look at this article:
http://www.beatthegmat.com/mba/2010/02/ ... study-planIt will help you to know what to do to develop a study plan and it also contains links to some other articles that will be of use to you.
If you are taking a class, then your teacher will help you from there. If you're studying on your own and have more questions, please let us know!