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Okay, so I started writing a storygame. Yay. But I don't know what I'm doing. Not so yay. Anyhow, on the first page, I'm trying to establish the world and setup and characters and all that. Should I just keep on writing until I hit a fork in the road, or give the setup and then add another link to the action? 

In some games- most games, in fact- there's a page with one link, I presume to break up the plot a bit and give you something to click on. Take the Zombie Survival game, for instance- and, you know, every other story on the entire website.

But I hate to waste links, and I could just make one page with paragraphs so to separate the scenes.

Wow. This was a long post about almost nothing. Why is this post so long? I must ramble more than Anne of Green Gables. 

I say keep writing until you have to put a link in.

Personally, I think that it's always good to separate long explanations of world building or scenes with different pages. You don't HAVE to keep writing until you get to a choice. It just depends on how much you want to build up your stories. There's no such thing as "wasting" links. ^_^

Thanks! I think that's probably the best plan- I'm sure readers won't mind having to click a few extra times to get to the fork in the road :)

Exactly!

It really depends on how much text you're talking, but hitting a giant wall of it immediately can be off putting for some readers. There's no connection to the story yet to keep them reading and they might be just casually browsing, so you might need to reel them in gently. 

Also keep in mind a lot of people (insane people) may be reading games on a phone.

I usually aim for about five paragraphs a page for sections like this, not counting whatever separate lines for dialogue, but there's no set rule for how much is too much and you just go for whatever feels like a natural stopping point. Another popular tactic is taking stuff about the setting that's not completely necessary for the story and putting it in as an informative little aside under its own link. That way you do have a choice on the page, you're able to trim some of the fat off the main body of text, and you get too freely babble about your setting without worrying about it disrupting story flow.   

That last is cheating a little maybe, but establishing a world in a way that flows smoothly in the narrative can be a tricky balancing act, even when not dealing with a CYOA where on a typical playthrough the reader isn't going to see even half of what you've written. Having 'wasted' links in the beginning or infodumps on the side may be preferable to having to repeatedly give the same information in slightly different ways on different paths.

I don't mind an opening page that only has one link.

Personally, I find links focused on plot points that bridge scenes are always a great option.