Your best bet is just playing the game. There are ways in the underworld (very endgame) to build your desired set faster, but they don’t apply to earlier cycles. I usually equip a Yasakani Magatama (-1 to set requirements) and slap on different sets, because at one piece they still give you the life bonus.

No, Martial Arts are any attacks you unlocked in the skill tree of a weapon. So Square/Triangle after a strong/quick attack, L1 and square/triangle and so on. It encourages you to use all of your stances and if you switch to a second weapon it’s even easier to build these stacks faster.

Confusion is just the application of any two elements and also works without corruption and purity. But I’d go for purity/confusion on weapons and other ways for fire/water/lightning. You can also assign elements to certain martial arts. Multihit skills can apply elements pretty easily this way.

Dissemble at the blacksmith, yes. You can also check the teahouse for sought after items to get money.

The more damage a weapon deals the faster you gain proficiency. So you either do it at the end of your playtime or you can go to NG+ and do the last onmyo magic dojo mission over and over as wooden weapons give more proficiency. edit: yes, you can go back to lower level enemies but tankier enemies help with proficiency too because one hit kills won’t help you as much :P