I have GMed dozens of role playing retreats that ran multiple days. I highly recommend this. The immersion into the game world is fantastic and doing this with friends is a lot of fun.
Here are a few practical things I have learned:
Prepare with your players
Like the original poster observed, if its a new campaign, have them create their characters in advance with you, so you can work their backgrounds into the campaign fabric and share some secrets that their characters already know.
We've been playing together for a long time, so we have no need for "Session 0", but if you are playing together the first time, make sure to set expectations - how serious are you about it, how deadly is it, is this high fantasy or crapsack world, etc.
Expect one level up every 1-2 days
You are playing intensively, so you will cover a lot of adventure in a compressed time. Plan to have one level up happen approximately every 1-2 days. With a four day session, expect one somewhere in the middle, one towards the end.
Make a checklist to ensure you do not forget anything important:
- adventure modules (yes, I once forgot it, my wife had to express mail!)
- players' character sheets
- plenty of square graph paper
- pencils, sharpener, ereaser
- rulebooks (or mobile devices & search online, it's often faster)
- GM screen (last time GM forgot it, had to jury-rig)
- ereasable board markers (or props like Dwarven Forge)
- miniatures or pogs
- initiative tracker
- loudspeakers for soundtrack (if you use that)
- extra power cable / multisocket for charging all the devices
If you normally play online via Roll20 or such, you may want to leave the character sheets in there, and use tablets instead of paper character sheets. Otherwise, you have to copy everything from digital to paper before the game, and everything back into digital afterwards.
Also, make sure that the place you rent has a large enough table to play at.
Cooking often can be done by one of the players on the side, while play continues.
If at all possible, try to avoid having calls, escpecially work related, during the sessions. You cannot always entirely avoid it but it breaks immersion and makes everyone wait. We typically took some time off in the afternoon/evening to phone with our loved ones all at the same time.
What happens should depend on the players, so do not invest too deeply in preparing an exact sequence of events in advance, but familiarize yourself with the big picture.
The red thread. Develop a rough sequence of adventures: consider your secret main plot and big backstory for the campaign, then jot down titles to string together supporting adventures. Match them to the expected level. With a ready-made campaign, this is already taken care of, but depending on how usable it is, you may need to highlight, make margin notes, etc.
Foreshadowing. Having a red thread will enable you to foreshadow things, important NPCs have early cameo apperances, peasants tell a story of the terrible green dragon to the South that the party will run into later on, a traveling merchant shares news about the orc invasion in the neighboring kingdom, and so on. This will make the world much more believable. Trickling out supporting information also makes it easier for the PCs to follow the plot.
Ready side quests. Have a few level-adequate short adventures ready as backup (from Dungeon Magazine or compilations like Yawning Portal). If the characters really want to go off the main quest or explore the map instead, you can play these adventures and are not forced to railroad them. Makes the world feel more real. I've had a party who rather wanted to plunder the undercity dungeons than stop the finely-wrought conspiracies of the evil cult. Let them. (And let them face the results of not attending to the cult, later on).
Roll with it
Listen to your players. Sometimes, when they try to piece together the story, they unearth logical inconsistencies in the written plot. You need to fix this and change the plot on the fly then. Sometimes they have ideas that are way cooler than what the adventure had in mind -- if possible, incorporate those. They don't know you did, and will be proud they figured it out. The really awesome stories happen when both sides of the table develop them together.
Improvise. There is no way you can prepare material for four days in detail and remember it. Improvise and invent. The players will be none the wiser, they do not know what's written in that book and what not. Think of movies you saw to pilfer memorable characters, of books you read or computer games you played, whatever. Once you played it together, it becomes part of the fabric and truth of the world.
Take Notes. There is a lot going on. Have a notebook or sheet of paper (or a labtop) on your side of the screen and take notes about the new NPCs and names you make up on the fly, so you remember and can refer back. You can mark down combat and track time there too.
Keep going. Sometimes you need to look something up: delegate looking up rules to the players. If it takes too long to find something else, stop: don't look it up, make it up. It is important to keep the game flowing and keep the players immersed. As soon as you spend a lot of time poring through your books and nothing is happening, players get bored, and start playing mobile phone games etc. Then it is hard to get them back on track.
A great GMs I played with had signs he would hold up: "No movie discussions!", "No rules lawyering", and "THE FIST!" (a general purpose admonition to shut up and get on with the game).
Nightly prep. You have some extra work at the end of the day. When the players go to bed or discuss theories, spend another hour or two in the evening to prepare in a bit more detail the adventures that you now know will come up for the next day.
You are sitting around most likely eating chips, doritos, chocolate, cookies, sweets and what not for days, instead of during one game night. Try to eat something healthy in between. I found chewing gum can help.