Short version: Carefully.
It is definitely true that any kind of fantasy/sci if setting that departs in its construction significantly from the shabby parade of commitment phobic half-truths we call reality will require some explanation to, and understanding from, that most ferociously temperamental creature known as the reader.
The best approach to this whole ugly, messy business is to ignore it as much as possible. Consider, for a moment, the opening of the original Star Wars (the one called 'A New Hope' these days, kids). A large spaceship chases a small spaceship through the inky blackness of the void of space. The large spaceship bears down on its quarry...
Do we need to know much more? Or do we recognise the David and Goliath rematch where Goliath is making all the right moves and David is on the ropes? Do we need to know much more, or care about it, to get right into this story? No, of course not.
ANH drip feeds you information as and when you need it to make sense of a character beat or a story moment. The characters and story, told in broad universal strokes, are the focus, the world-info is used to colour the broader themes.
Thankfully the Star Wars saga also gives us a "Things to avoid" in the shape of the opening of The Phantom Menace.
What's happening at the beginning of TPM? Something to do with trade delegations, blockades, diplomatic Jedi. It's a mess. The amount of info you need just to parse the dramatic stakes is too large to be comfortably accommodated. TPM then goes on to bludgeon us with overegged explanations of stuff we don't really care about for the remaining time it graces the screen.
In summary: concentrate on characters in universally relatable scenarios and then flavour their trials and tribulations with bits and pieces from the wider world. Doing it the other way round is a sure recipe for getting quickly out of your depth.
Re: Deus Ex Machina (see comments)
Essentially what I'm saying is that these universal characters in universal situations are the thing that should be the focus. When Han shot Greedo first (honest) it was not a DEM because twenty minutes ago Ben had labelled Mos Eisley a "wretched hive of scum and villainy". Logically, as Han is the kind of guy to hang out in such a dive, it is unsurprising that his character should indulge in such antisocial antics as a means of survival.
Meanwhile the audience is gently introduced to the idea that Tatooine is one kind of place rather than another. Following a viewing of ANH an audience member could tell you that on Tatooine there are honest moisture farmers trying to eke out a living under the boot of the empire but there is also a space port on the planet called Mos Eisley which has a reputation as not being the most savoury of places.
We also learn that there's a gangster on the world called Jabba, who will dispatch hitmen to deal with smugglers who give them problems... although in the original editions Jabba's character was not fully, heh, fleshed out until Return of the Jedi and then retconned back into the Special Edition of ANH.
In any case all world building here serves to flavour the plot and characters. So, once again, the key point is to have great characters involved in easily relatable actions as long as the world still needs explaining. That, of course, is the tricky bit.