We just got back from a wonderful trip to Austria earlier this week. Christmas markets were high on our list. You're welcome to message me but here is a rough outline of where we stayed and our itinerary. It was really perfect in every way! We didn't find them to be crowded in any way except we did note there were more people on Friday nights than other nights we attended. You need to take cash for sure but other than that I don't have any "don'ts." The trains from Vienna to Salzburg are super easy to figure out and a really nice and stress free way to travel.
Flew into Vienna 12/15 and stayed in Vienna until 12/19.
Stayed at this hotel and loved every minute. It is perfectly located to be within walking distance of the market at St. Stephens Cathedral and there are soooo many restaurants, cafes and shops within walking distance. This is an older hotel (i.e.not a big box chain hotel which we try to avoid) and the rooms are beautiful and stately. The breakfast at this hotel is amazing with a huge variety. They had 4-5 loaves of homemade bread out each morning and then at least 6-8 selections of local marmalades. Lots of fruits, meats and other fresh made breakfast options. https://www.austria-trend.at/de/hotels/astoria
We also visited Schonbrunn Palace for a tour, coffee and dessert on the grounds at the Cafe Gloriette (well worth the hike up from the palace!) The Christmas market in front of the palace has a good variety, great food options and lots of interesting stalls to browse.
We travelled to Salzburg by train for the next few days and stayed at an AirBNB that was just slightly up the hill (less than 3-5 minutes) from the Cathedral Square Christmas market. We did other Salzburg stuff (the fortress; a Sound of Music tour) during the day and then enjoyed walking in the markets in the evening.
Finally, we did an overnight trip to Hallstatt and then back to Vienna. It was an amazing trip and we are editing pictures now. Message me for questions! I'm so glad we went.