Among your first stops should be Margaret River Vistors Centre. Here, you'll be able to find your bearings and get lots of useful information before you begin exploring.
This tourist information center in Margaret River is well-liked by many travelers, so be sure to put it on your travel itinerary. Don't think that's all there is to do here, though. There are a lot more spots waiting for you to explore after Margaret River Vistors Centre. Prevelly Beach, Leeuwin Estate, and Xanadu Winery are close by.