I have to agree with others that starting small is best. I've played a few paradox games, but generally have no idea what I'm doing. I've done decently well in Vic1 and EU3, but HoI3 and Vic2 scare me. There's a lot going on. Now, as a devoted fan of the Roman Empire, I *had* to play as the Byzantines in CK2. There's nobody else I'm interested in. Regardless, I play near the end of the timeline (my current game started in 1290ish) where the Empire is much smaller and thereby more manageable. I like the imperial status, but the vast realm is way too much...
Not that there's any problem with vast realms, but somehow I find them much more manageable if I've gained them over time rather than started out big and have a lot to manage. It's kind of like growing into it?
So right now, I'm mostly just building my economy and powerbase and vassalizing neighbors, and only waging war at last resort to press little claims against little people. It's likely that I'll not fully restore the Empire before 1453, but that's fine. It's a good, casual, starting campaign. Starting as the Empire in 1066 would scare me.