Obtain a wood stove specifically designed for pellets. Pellet stoves have an automatic hopper/feeder, so you don't have to constantly tend the fire. The internal design is specifically made to extract the maximum amount of heat efficiency from pellets. Keith Smith of the Ohio State University's Extension Service recommends inspecting any stove thoroughly before purchasing it, making sure it is Underwriters Laboratories tested and approved. He also recommended buying a new stove, not a used one.
If you have an old pellet burning stove, the U.S. Department of Energy recommends you upgrade to a new Environmental Protection Agency-approved stove. Newer pellet stoves have a catalytic combustion chamber, ensuring a complete burning of the fuel. Catalytic retrofit kits can be installed into an older stove, according to the Department of Energy. Have a licensed professional, who has the tools and expertise, do the job. Get approval for the installation from your municipality's building inspector.
Do not allow your pellets to get damp or wet. The pellets should be stored indoors, perhaps in a garage or shed. If this is not possible, keep the pellet bags off the ground by using pallets. Pallets allow air circulation, so moisture does not accumulate due to ground seepage. Cover the bags securely with tarp, so rain does not penetrate into the bags.
If you have access to a large quantity of sawdust, such as a local lumber mill or wood shop, consider making your own pellets. A variety of small pellet making machines exist for homeowners. You feed the sawdust into a hopper, and the machine compresses the material into pellets. You have the added expense of the machine, but in the long run it will pay for itself by the savings over having to buy pellets in a bag.