The best thing to do is just show up and be ready to have fun driving.
As you probably know your car will have to go through a tech inspection. Things to double check include battery being securely fastened (with some kind of metal screwdown to ensure it can't move around), lugnuts are properly torqued, suspension doesn't allow wheels to wiggle, and clear out your car of all loose items... I think that is about it. You'll want your tires pumped up a lot - like 45psi (ask one of the many Miata guys what to put them at). The main thing is you want them higher than on the street so they don't rollover the sidewalls. You can borrow a helmet at the event.
Get there as early as possible so you have plenty of time to walk the course and get tips. There is usually a novice walkthrough to help out. Ask people questions - we are often not paying attention - but are always interested in helping newbies out, so get our attention. Bring food and lots of water and lots of clothing (jackets, umbrella, change of underwear, etc.) and sunblock.
As to which specific event to do first, I'd do the first one you can. The schools offered in Indy (http://www.indyscca.org) and Columbus (http://www.cscc-scca.org) will give you lots of runs and more tips for sure, but a regular event will be very worthwhile.
Don't worry about your performance or any competitive stuff early on. Just have more fun driving than you probably have ever had before. Your Miata is going to feel like a beast.
Is your Miata stock? Have you got any modifications - if so we can help you figure out what class your car will be in.
Welcome aboard! Be sure to check out http://www.indyscca.org for lots of information.
Jason P.
Indy Region Moderator
STU - M3 e46