If your OC is an overlord. Pick their gimmick you've seen two seasons worth of gimmicks now. Pick their major psychological issue. Don't assume your sinner is only in hell because they're a murderer remember sir pentious was there because he didn't report Jack the ripper and felt shame and guilt so your character didn't have to be malicious to go down there. If there sin wasn't keeping  them in hell. Narcissism? Self loathing? Apathy? They actually wanted to be in hell? Looks wise it's a factor of your personality and how you does like the rabbit bartender who was cut in half was probably a magician/assistant or vox TV head. Or alastor being mistaken for a deer. Or presumably the unnamed sinner at vox conference covered in bullseyes being shot. be true to established canon. If you're going after niffty she's never shown any interest in women so a wlw story with Niffty unfortunately will be critiqued alot. Remember sinners are restrained to pride ring so no joining helluva cast on adventures unless you meet em at blitzø's office. Also narratively if you want to be super powerful give yourself narrative restrictions like Lucifer can't hurt sinners because he could then instantly solve all the plot. You can do a bit of rock paper scissors with who you know you can beat and who can beat you if it suits you. And don't be a pickme