The TIE Interceptor is has more firepower and a faster engine than the standard TIE Fighter, but it is still an unshielded liability in combat. You have two options when approaching in a dogfight, 1). Shoot first, be very accurate, and destroy your opponent, or 2). Take evasive action. My go-to move is a corkscrew roll, but there are other options. Regardless, if you just sit there for too long with 3 enemy ships targeting you, you are going to be destroyed (as I nobly demonstrated a few times). Once you've passed through them, the Interceptor transforms from a sitting duck to a killing machine.
I recommend setting lasers to quad fire, which will fry Z-95s (and quite a few other ships) with two direct hits. But if you're just starting out, you may want to set cannons to single fire so you can just hold the firing button down as you learn to aim, to lead, and to use The Force. As long as you set your lasers to increased recharge rate, you won't have an issue with running out of laser power.