The next step in setting up your iPad is to choose whether or not you want to use iCloud. ICloud is a free online service from Apple that provides a number of benefits, including the ability to back up data to the cloud, syncing contacts and calendars, storing purchased music, and much more. As with other settings, iCloud is optional, but if you have more than one iOS device or computer, using it will make life a lot easier. I recommend it. Set it up using your Apple ID as your username and password.
At this stage, Apple gives you the option to set up Find My iPad, a free service that lets you locate a lost or stolen iPad over the Internet. I strongly recommend doing it at this point; Find My iPad can be a big help in recovering your iPad should something happen.
If you choose not to set it up now, you can do so later.