Whether it is your first large role or not, taking on a lead or difficult part in a show can be unnerving. Remember that the first rule in avoiding nervousness in an audition is to be fully prepared, and the same thing works after you've won the role.
Large roles can be nervewracking not only at performance time but also in rehearsal. We often feel the pressure to live up to others' standards now that we have won a role that many were trying for. Some of those people you "beat out" for the role may now be your fellow cast members.
By far the best way to feel and appear prepared and worthy of your role is to work ahead of the game as much as possible. The best scenario is that you will get your script and a rehearsal schedule early (either ahead of time or at the first rehearsal). Then you can get down to work. Memorize your scenes in the order that they will be rehearsed.
Get a good handle of the show as a whole. Hopefully you read the script as part of your audition preparation, but now is a great time to read it again. Read the script all in one sitting - reading a play is not like reading a novel, you need to read it all at once to really get a feel for it. Once you have read the whole thing, go through it again and make a list of every scene your character appears in, in order. This not only gives you an overview of how much you have to do but also gives you an idea of how things flow and where your rest periods will be. Mark any songs you are involved in next to the scene in which they appear, and also indicate if you have any solo work in them.
Once you have your master scene list, make a couple of copies. Use one as your reheasal log - check off each scene as it has been blocked and rehearsed, and keep notes about blocking and your entrances and exits. Although we hope we have a director/stage manager who is organized and keeps track, sometimes we don't, so it's nice to have your own record.
Use another copy of your master scene list as a performance reference chart for during the run of the show. Although how much you will need to rely on it depends on the individual role, this is an excellent way to keep yourself calm and focused by providing a sort of "to do" list as you go through each performance. Put every single thing that you must do during a performance on it, such as costume changes, makeup/hair changes, props needed for each scene, etc. Decide early on if you need a helper for any of these things, and find someone you trust to help you. Then give them a copy of the chart. Decide on a place backstage where you will post the chart for each night.