The Vault is a blast. If you are nervous about trying it, there are various LFG out there. Just be sure to mention that you have never attempted it before. The people who will invite you will be happy to help you with it.
Also look up Destiny Sherpa. There is an entire group dedicated to teaching people how to successfully complete the raids with various strategies. Just be open about being new at it, and be willing to listen and learn. It will be a great experience!