Just got this game. Still am having trouble grasping a good earlygame defense. I think I'm too strategic, and keep on wanting to push to That chokepoint, so I don't build walls or anything and spend an inordinately large amount of time with just the starting troops.
And boy, when one zombie gets through, that's game.
The general rule is to use your army to kill zombies and push out tesla towers along one entrance to your base, and have static defenses covering every other entrance. What counts as an effective static defense changes over the course of the game, so nothing is stopping you from deleting that wooden wall once you've expanded past it.
Why would you, though? If your primary defenses are ever breached, having a secondary wall or two - even if it only slows the horde down momentarily - can give you enough time to rally the troops.