Well if you just hit 40 you should have Shield Oath now, which will help massively. The number 1 mistake I see lowbie paladins making is not flashing enough. Before you get ShO it really doesn't do much at all, you need to spam the crap out of it, but I constantly see tanks facepulling mobs, flashing once, and they just single-targetting one of them. Healer peels mobs off, over-eager DPS start AOEing and peeling everything except the tank's main target, everything goes downhill.

At your level, against 3+ mobs you should be spamming the crap out of Flash. Even on pulls with just two mobs, flashing three or four times at the start of a pull will generate enough holding aggro to keep aggro on both mobs while you focus on one. Later on when your gear is better, you can get away with flashing less and just manually cycling through enemies using your single-target rotation, but at least until 50 Flash is your only tool for generating threat on multiple targets at once, and you should be using it almost constantly.