I haven't demo'd the Priestess/Warlock yet, but I would do it exactly the same as I would for Beastmaster/Wizard. Explain how to read the cards and go over the different types of cards. Explain the basic mechanics of the game. And yes, go through the setup rounds. I usually tell them the advice that they should start by either getting out creatures or equipment during setup, but otherwise let them decide for themselves. Don't worry about strategy too much. It's about exploring and learning. Nobody expects to be a master their first time picking up a game.
