1) Choose appropriate footwear. I took part in a march that was a bit longer than average, and I wore uncomfortable, flat sandals that caused me pain and blisters for a couple of weeks following the event. Pick something comfortable and fits properly.
2) Dress for the weather. I know how tempting it is to show off that shirt you're wearing sporting an activist slogan, but if it is very cold or raining, better to cover up. Wear outer clothes that are waterproof, if necessary.
3) Be aware of your surroundings. This is especially important if you are marching on the road amidst traffic.
4) Mind your physical distance from the other marchers - try to avoid a situation where you are all crushing into each other, while at the same time still appearing unified.
5) Make sure you've had enough to eat and drink before the march starts. Carry a water bottle with you if the weather is hot and you risk dehydration.