I just started with the game, but I am under the impression, that early game caravans are just to weak. If I send 2-3 of my colonists with weapons somewhere, they will usually encounter a lot of enemies with better weapons etc. so that there is no way they win.
Are caravans (missions) late game stuff or am I doing it wrong?
No, caravans are any stage-game. Just try to avoid enemy bases. The closer you get to them, the higher chance there will be an ambush. Make sure to not bring excessive materials, or extra colonists, so wealth does not go up and the ambush is quite small rather than large.
You need to differ faction bases or encounter.
The faction bases are indeed lategame. Fixed large amount of enemies.
While the encounters, the one with rewards, scale up with the amount of pawn's you bring into.
additionally to all this, the fewer pawns you bring along, the stealthier your caravan is and therefore the fewer ambushes you'll have. so you COULD technically make one pawn carry a thrumbo horn, 2 scyther blades and a whole slew of drugs to trade it for shield belts. if you stay stealthy and dont go near bad guys, you might very well stay safe. but once they catch you, their strength will depend on the wealth of that colonist (which in my example is very high)
Is it worth to send caravans out to trade early in the game? Are the prices better or can you buy stuff at the villages that you otherwise can't?
The prices are better yes, and the villages arn't limited to one trader category.
I only send out caravan if i realy need some special thing/animal, mosttimes i request a caravan for 700 silver.
Don't forget the pawn's on the caravan can't work for the colony.
But when you placed your colony on a good road and got 2-3 villages within 1-2 days travel day range, it is worth a visit.