This guide is meant for going through with the entire Story Mode of the game. Some useful tips that will definitely help you:

It will save you time to change the difficulty of the Story Mode to easy. To do this, when you click on Story Mode, just navigate above the "Normal" option where you see the three skulls and the seed input. Highlight the skulls, and press enter until only one of the skulls is highlighted.

Find a preferred character. I prefer to start with Bluebird, with the range of his starting weapon making it easier to not take much damage, and the health is a decent amount too.

Find a preferred weapon. When you get to the shops, you will have a choice between three weapons there. If you see a weapon you are really comfortable using, get it (you don't have to have the coin value required since the game allows you to steal a weapon once per playthrough, just recognize that once you steal a weapon you can't buy another weapon again in that run (also stealing a weapon is an achievement so you'll have to do it anyway)).

Collect artifacts if their ability doesn't put too much of a burden on you. Just take artifacts whenever you feel they are a safe play, the gimmick of this game is that you have to pick these up to trade them in the shops for good items that give you benefits. If the artifact is too much to handle, just ignore it.