I am a fairly new DM and have just started running Waterdeep: Dagon Heist. I would greatly appreciate any tips from DMs on how to effectively run this intrigue laden adventure. 

Who is the villain you want to use?

I am planning to use Xanathar as the major villain and Jarlaxle as a secondary.

I have the module, but I haven't played it through. I have attempted it, but that involved an Emu store and many, many banks. What I suggest is getting the PCs started well. I threw them in and asked them to do the quest, and they refused (that is probably just my group). Give them a good reason to start the quest. After that, just a suggestion, have Volo give them a purse with the deed to the house, not the gold he promised and have him disappear, just for a little fun and hate for Volothamp Geddarm. Anything farther than that, I can't help you. Have fun DMing that great module! :)

Currently playing this module. Just started Chapter 3.

• Make sure you and your players understand the setting - urban environment with city laws that should be enforced, including the use of magic. Understand the chase mechanics. Lock them up if they break the law and are found out.
• It is not a hack'n'slash. Diplomacy goes a long way. In the scheme of things there is little fighting.
• Time tends to move in days rather than hours. I keep track of the date via a calendar I set up. This calendar also has the festivities marked on it, dates that payments have to be made by, etc.
• If they choose to take on the Manor, make it so that the title will only allow one name to be recorded as the owner. That way any debts/profits & responsibilities go to one player. The other players can choose to live there or elsewhere and don't need to contribute towards the Manor if they don't want to.
• Try and get reasonably solid back-stories for each of the characters. My party has two characters who have lived in Waterdeep all their lives, with one of them a member of the City Watch. This helps with disseminating information, since these two know Waterdeep well. (Note: these were decisions made by the players prior to any introduction to the module.)
• Things might get a bit slow during Ch. 2 when they are getting to know their neighbours, etc. Encourage them to join a Faction. I have 4 characters across 3 Factions. Makes it easy to hand out the side quests.
• Gold is pretty hard to come by. Depending on what they choose to do with the Manor, they may well have to go into debt. Keep track and add interest as required.
• There are plenty of opportunities for role-playing the NPCs. Make the most of them.

Thanks for all the great advice so far!