Also, mine was REALLY loud when i first turned it on and start the water pump, is that normal? And it took ages before any water was coming out.
You should open up the steaming wand, make sure there is plenty of water in the tank and then switch the machine on and also press the switch to make the water run through. When it starts to come out of the wand close that up but let the water come out from the shower head. Once that's done, switch off the water and now you know the boiler is full, leave it for 15 minutes to heat properly.
However, i did make my first espresso/latte, i only have a blade grinder and i think it was too fine, it was like 3/4 seconds and the espresso shot cups were full and i have zero creme. I guess i really need that burr grinder to arrive !
Burr grinder will make a huge difference, with your blade grinder though, try grinding for about 20 seconds whilst shaking it a bit. That should make the coffee fine enough so that it doesn't run through fast. Ideally a basket should take about 25 seconds to run through, not 4!
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You also need to tamp at about 30lbs pressure, I figured out hom much that was by using bathroom scales with my tamp (don't tell anyone).
I'm still learning myself but have got much better today, managed to get my shots with tiger stripes and like honey.
Also, steaming milk is a bit of an art as well. You need a small pitcher for the Gaggia (preferably staright walled and a good pointed nozzle for latte art) as it struggles to steam milk for two cups. Use a thermometer to make sure it's getting to 155 degrees as well, also you dont want large bubbles, microfoam is where it's at!
Plus, take off the foam assister (the outer plastic sleeve) on the wand, this is there to help people get semi ok foam but if you want proper foam you need to surf the tip of the wand 1mm from the surface of the milk, you don't want bubbles the eye can see. Plenty of tutorials online, home barrista and coffee geek are good as is coffee101.