Depends a lot on the map and a lot on the people you're up against.
Most of the time, teleporters and dispensers are more important than sentries, and sentries are often used to set the front line of battle, a place your team can retreat to get some heals and have a little extra protection. Don't rely on your sentry gun to get you kills, that's not the purpose of the engineer in a match setting. It's all about team support. You should be calling out every time you see someone, and getting backup when the big-bad-demoman comes to blow your shit up.
Don't be afraid to shotty people to death, don't be afraid of wrenching people to death. Match setting takes a lot of getting used to. It took me a while to figure out how to play it, I consider myself to be at the very least decent... You'll get it.
And you should never be getting killed by enemy spies, ever. Period. If you are, practice that and nothing else.
I use forward sentry gun positions a lot, setting up an SG and a teleport exit somewhere in their base, getting the team rallied, then bursting out of that one random room none of the enemies decided to go into. Follower has a nice one of those rooms, Virally and I tried to take it a few times.
