The Wall of Flesh is a giant wall like boss summoned by allowing the Guide Voodoo Doll to fall into the lava. As with most bosses you need to prepare.
You have obviously done the main parts: Getting the best armor possible and trying to get some weapons. What you also want to do is make sure that you have Max Health and if you plan on weapons like Tomes of the Space Gun, Max MP.
If you haven't already, get the Goblin Engineer, he has 2 uses:
He can "re-roll" the random traits of your items, you would have noticed that some weapons and armor come with prefixed titles like "crappy" or "godly" and bellow their initial stats they have things like "+5 Defense" etc. By forking over a lot of gold you can redo what these traits are, however they are still random, a "Superior" item can become a "Crappy" one.
You can buy the Workbench from him (the main reason why you want to get him). This will allow you to combine some accessories and items into new accessories, (ie. an Obsidian Skull + Lucky Horseshoe = Obsidian Horseshoe which negates fall damage and negates damage from hellstone/meteorite). With this you can combine some of your most useful accessories and hopefully allow room for even more- particularly if they have Defense Traits added to them.
You also want to make sure you have enough potions, mainly bring Health Potions but craft some Regeneration Potions if you plan on using magic. When you have potions in your inventory you can use the "heal" hotkey (I think it's H) to quickly heal yourself while still attacking. It's bests to make the highest level potions you are capable of making and use them as your almost dying since there is a potion cool down and you don't want to be killed because you couldn't heal due to the cool down.
For preparing to fight the Wall, get materials like dirt, cobblestone, anything like that and create a bridge in the Netherworld. From where you start keep going strait to one side, if possible mine out some tunnels to make a flat path. When you summon the Wall of Flesh it'll spawn at the closest edge to the world, so if your closer to the right it'll spawn there and move to the left and vice versa. It's a good idea to create a bridge that extends all the way there with just a small gap to allow you to drop the Doll.
Finally the fight, keep running backwards, jumping to avoid it's laser attacks and the worms it spits out and shoot it's eyes and mouth. They will move up and down to match the terrain and keep it's 3 main parts in proportion to the ground and ceiling. I remember there being a bug about it not moving when there isn't a big enough gap but I'm not 100% sure if that's fixed or not.
You can not use the mirror to flee as the moment you start the battle you have a buff on you that will kill you if you try and flee. Trying to climb away wont help either as you'll be dragged back - it's kill or be killed with this guy.
The worms it spits out fly around. You can mostly ignore them but killing them will sometimes drop hearts and stars - useful for mid battle healing without potions. As it's health drops it's attacks and the rate it spits out worms will increase. The best weapons to use are long range weapons which can pierce through (like the Space Gun) as you'll get 2/3 hits in one attack. You'll also get some cross fire kills with the worms if they happen to be in the path of the attack. I would avoid using Melee weapons like swords as the entire body can hurt you while you can only hurt the eyes or mouth.
I defeated this boss by myself before the Heart Statue could be used so you don't need it, but if you want you can rip it up to drop hearts as you are approaching it.
If you need added buffs, craft some other potions. Iron Skin is very handy as it has a long duration and it boosts your defense. More defense = less damage = less healing potion use, as i said above, using healing potions have a cool-down and you want to make sure that you don't lose too much health before then.
After you beat the boss, an Obsidian Box will appear with your loot (to stop it falling into the lava). Apart from the box, beating the Wall of Flesh triggers Hard Mode. You now have the Hollow spawned, both it and the Corruption/Crimson will spread faster. New tougher enemies will appear and access to better ores and items will become available so prepare not only for the Wall of Flesh but for it's victory as well. The game will get harder after you kill it.