I just got my first diesel (1996 2500 6.5 TD) 156,000 miles

What are the first things to check and/or replace on my truck to make sure something major doesn't happen right away?

If your truck isn't already so equipped, PMD (pump mounted drivers) will fail, it's only a matter of time, especially towing a 31' TT. Save yourself getting stranded and remote mount it.

how many miles you got? harmonic balancer and pulley are good to change to save crank. injectors are good to change at 100,000 miles. check your glowplugs with a test light. replace the downpipe with an aftermarket one and get a bigger exhaust and remove the cat and muffler. get some gauges, at least a pyro. the bill heath turbomaster is a good replacement for the vaccum operated wastegate system when it fails. an exhaust should be your first priority especially lookin at the trailer your pullin.

If your truck isn't already so equipped, PMD (pump mounted drivers) will fail, it's only a matter of time, especially towing a 31' TT. Save yourself getting stranded and remote mount it.
Do you have a link that describes this procedure?

If your truck isn't already so equipped, PMD (pump mounted drivers) will fail, it's only a matter of time, especially towing a 31' TT. Save yourself getting stranded and remote mount it.
Where do most people mount their PMD?

best place is said to be in the grill in front of the radiator.

search for relocate FSD

I bought my kit from Heath diesel, which recommends mounting on the bottom flange of the front bumper. There are many places each with pro's and con's. If you mount it out of the engine compartment, it is away from heat, but the length of the cable may become an issue. Some kits mount it on the manifold, using the factory harness, but in my opinion it is not far enough away from the heat. Check out Kennedy diesel as well as heath. I bought a kit that included a new PMD for 2 major reasons, 1. I knew I had a good one, and 2. You need to pull the intake or loosen the IP to remove the existing one.

Heath also makes custom harnesses I have a 72" on mine he exchanged for the old shorter one as with my IC in the way and bumper mounted behind liscence plate I needed a little more than the stock length

If you intend to haul weight or a trailer you should install an exhaust guage. Under load the exhaust temperature can approach the danger zone of 1200 degrees. This temperature can cause Real damage.
As for the eventual ultimate failure of the PMD do the remote mount now. As mentioned above Heath has a remote harness and mounted PMD that you can mount forward of the radiator and thus reduce the operating temperature of the PDM. Look at my web site for a few pictures.
I have found that using a fuel additive has kept my pump and injectors going for 150,000 miles. An additional benifit I have never had a water light. With my old 6.2 and getting my fuel in the same places I would get a water light several times a year without using an additive.