I've been to Mardi Gras and I've been to New Orleans during the year. Either time its crazy. No where else in the world have I walked down the street at 3AM with a drink in my hand!
I have a few suggestions for you. First and foremost...use the hotel safe! Don't carry more cash than you think you will use. Drinks are relatively normal priced. I think it was $5 for a mixed drink. You WILL be pick-pocketed if you are carrying a purse or wallet in your back pocket. Stay with your party. Don't wander off alone at night. And very important...listen to the cops! If they tell you to move on, start moving.
Don't be afraid to be adventurous! Call for beads. Have fun!
There is a riverboat dinner cruise every night. You can buy your tickets before you go. Its really nice. Its a cruise down the Mississippi at dusk.
If you buy anything, have it shipped home. By shipping large items home, you save on the local sales tax.