This page of the guide to Total War: Warhammer 3 features tips on the best technologies and buildings when starting a Slaanesh campaign.
Technologies of the Slaanesh faction are "fragrance" themed, with every scent containing several research projects which can usually be developed in any order.
Additionally the technologies on the right side of the tab often require special buildings, which should be considered when developing settlements.
You should start off by developing the first tree - Scent of Aberrant Promiscuity. There's a lot of research here that can give you a head start - increased province control, cheaper buildings, lower costs of Spreading Cults and more gold from structures.
First of all you should handle the treasury and the army, so they're what you should invest in. Start by creating the best possible structures in the Basic Military tab so you can create infantry and cavalry, the backbone of your army.
Your starting province already has iron resources in the Blood Mountain settlement. You should acquire and develop them as soon as possible. There's also gold and marble in the neighboring province you should also conquer.