What about when I want to fly my heli(turning on)? I will have to on the transmitter first, then the receiver?
Yes! Turn your transmitter on first. The aileron make you go left or right, the elevator makes you foreword and back, the throttle will make you go up or down and the rudder will turn your heli around. The radio manual should tell you all this.
Are there any tips on which servo should travel in which direction too?
I don't know to much about the dragonfly, but the manual should tell you which way the servos should go. If not, email these guy's, they should be able to tell you [link=http://www.rctoys.com/]http://www.rctoys.com/[/link] they sell them.