You don't need xanthan gum or other thickeners; they are already in the mix you bought.
These mixes don't behave much like standard, gluten-containing flour. Don't bake bread with them on their own, the results are very disappointing. Also don't use it for standard cake recipes, or for most pastries or cookies.
After all these don'ts, here are the things you can actually do with it.
- If you want to keep using your existing recipes without change, I suggest pancakes and crepes. There, gluten free mixes seem to perform as good as flour with gluten. There is a slight noticeable difference in texture, but it's not unpleasant.
- Use it in applications where the flour is not needed for the bulk of the texture. For example, if you use stew recipes which are thickened with a spoonful of flour before adding the liquid, it will work quite well there. Or use it for flouring pizza stones, cake tins, etc.
- Find recipes intended for gluten free mixes, especially from the brand you bought. They are specifically engineered to work.
- If you want to mix it with normal flour, that's also OK. But then mix it in cases where you want to lower the gluten content. So not in bread baking, more in places like cakes or pie crusts, especially if the recipe directs you to use pastry flour, or to mix flour and starch.