Fire Emblem is a difficult series, I don't know if you guys have heard

[Words Of Wisdom]

Hyperion said:

What do you guys recommend. Should I go straight into Hector's Hard Mode? Or should I do Lyn's?

Always go through Lyn's mode first. It's best for setting up characters for HHM and doing well in it gives you a White Gem which will help your Funds rank.