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I personally don't run a GMPC consistently, but instead on occasion include various different NPCs w/ the party.  But, that's me when I GM. 

The biggest thing, I'd say, would be to remember that the PCs are the important ones.  You, and to some extent your character by extension, will know a lot more about the game and the conflict and so on than they are.  On a more practical note, I'd suggest 2 things: 

(1), which I used during a Rifts campaign where I did include a consistent NPC w/ the party, was to more or less ignore the NPC during combat encounters.  This was in Rifts, where running encounters is often enough of a headache for the DM, so I would just script what the NPC did during the combat.  Something along the lines of "she took out those 2 guys over there" (which I handily included for her to do so).  If you do this you might want to give your players a heads up that you are going to.

(2), you sound like you might want more of a player experience than that, though.  In that event, I would suggest a support character -- a leader in the current parlance, I believe.  That way you are mostly engaged in making your players feel awesome (which they appreciate).  Also, if you play a healer type then you also provide a "buffer" or "safety net" of sorts for the PCs -- if they get into trouble your NPC can step in and help out.  In either event, I would make sure to keep this character only at the level of the PCs, maybe a level behind.  You can also only take meaningful actions w/ the NPC when it strikes your whim (i.e., as needed), so that you can focus on running the encounters.  Although remember to figure that into the Challenge Level of the encounters!