Almost everyone uses social media, but you have to make sure your information is safe.
Check the privacy settings on your social media accounts and be careful what you share. Make sure your default setting is to share only with trusted friends. Consider setting up multiple groups and make your posts available only to the most restrictive group that meets your needs (e.g., family and close friends, versus everyone you know). And watch out for imposters! Sometimes people set up accounts so that they appear to be someone you know.
Always share with discretion. Avoid posting anything that might embarrass you -- or anyone else -- later.
Remember that on most social media sites, some information is available to everyone -- friend or not. This includes user names, photos, gender, usernames, etc.
Consider using an anonymous browser like Hotspot Shield for some of your online activity.
A good resource for setting your privacy settings is available from the University of Texas at Austin's Center for Identity.