Creating Your Character
"I'm going with magic"
So, let's say you go with a wizard or sorceror class. I've already told you that magic is regarded as fake, so you might have a hard time...
You'll have to role-play the hell out of it to discover magic. Search every nook and cranny. Maybe allow your character to go to the brink of insanity. And if you fail, maybe your character will actually go insane.
"I want me some guns."
Great. You somehow convinced me that you have--or crafted--a .50 sniper rifle. Awesome! Congrats!
Guess what? Gunpowder is an extremely scarce commodity. As in, you might be better off using it as a club. Yep.
That's not to say that you won't or can't find gunpowder. If you search enough, if you research where to look, or how to find it, or whatever it takes, sure, you might get what you need to create gunpowder. But you still have to make bullets.
Instead, why not start out simple? Create a human. Or a humanoid.
The further you venture from humanoid, the better your reasoning has to be, and the tougher the game might be for you. If you create an Assimar, you may very well be killed straight away as a demon. If you create a naga-like creature, you might also be killed as a demon, or because somebody was scared because you're different.
A word on "power players"
Don't do it. If you try to start out with a power character, you'll probably lose. What you lose depends on how you play: you might lose whatever that "power" is; if you push too hard, you might lose your character altogether.
I don't like to take stuff away, I actually like to give it out. In games where my players RP'ed their hearts out, I give out awesome stuff. Wondrous items. A fistful of diamonds. Magic swords capable of outstanding feats that progress with the character. "Familiars" (or pets) that evolve into an intelligent and powerful cohort.