Here's some stuff, some of which you might already know:
Every character has a jumpsquat animation (the time it takes between pressing the jump button and actually leaving the ground) that influences the timing you use to get a "perfect" wavedash. You can't air-dodge until your character has left the ground.
If you hit R too soon, nothing will happen. You'll just jump like normal. If you push R too late, you'll jump a little and then air-dodge back to the ground. This is sometimes called Triangle Jumping.
I would recommend first trying to wavedash straight down. Just to get the timing on the R button. Hold down on the control stick and just practice hitting jump and hitting R at the right time so you don't appear to leave the ground, but create a plume of dust or smoke around you. Once you feel comfortable doing that you can move on to holding the control stick at a downward 45 degree angle to either side.
If your timing is good from the previous practice you'll be wavedashing.
As far as getting distance, that depends on the angle you hold the control stick. The 45 degree angle is the easiest angle, but the higher up you hold the stick (closer to straight right or straight left) the more distance you'll get. This can be tricky and requires a decent about of practice.
As far as combos go... as Marth sometimes you'll want to forward throw -> wavedash forward -> f-smash.
One thing I like to do after knocking an opponent on the ground (they don't tech) is run towards them and wavedash back. Sometimes this causes them to use their getup attack, which you can then punish. Wavedashing is just another movement option in the game with it's strengths and weaknesses. Try to watch some high level Marth players in either PM or Melee and see when and why they wavedash.
OK I've typed way too much.