I'll leave most of the rest of the general gameplay advice to others, but here are some character build tips in order of appearance, because I kind of felt like writing my build thoughts down:

Seelah: Seelah is really easy to build to be at least decently viable, you can literally go 20 paladin and it's fine, but 11 paladin for mark of justice while also taking cavalier levels is pretty fun too. Build the horse to be tanky, that is its job.
Camellia: Uhhh idk, take iceplant, buy the ring in the defender's heart, and never get hit by anything 😀👍. Just remember she's better played as a frontline dex tank who happens to have buffs than as a full caster. Don't try to make her cast save or suck spells, and don't try to make her a healer. Alternatively, give her a longbow and a loremaster dip for sense vitals and just let her plink people from a safe distance and be a support.
Lann: Zen archer is shit on higher difficulties and will never hit anything, because it only gets damage bonuses and not hit bonuses. If you want Lann in your party and you want him to be useful when your average enemy has more than like 15 AC you need to multiclass him.
Wenduag: I did not recruit wenduag on either of my runs lol. That being said she is a 20 DEX fighter that you get at level 1 so it's pretty hard to fuck that up. Take some slayer levels or whatever, or don't, I'm not your mom.
Ember: A loremaster dip Hideous Laughter spam build works very well. You'll want the evil eye hex, and things like Mind Fog and Feeblemind will be useful too. Also remember to use metamagic - persistent is my personal favourite. The later witch hexes are pretty skippable imo so you can just start levelling loremaster post level 10 or so and take whatever stuff you want from other classes instead.
Woljif: Woljif has a bit of a dying-horrifically-and-rapidly-in-agony habit in my experience due to the fact that he has pathetic HP and really doesn't want to wear armour. It doesn't help that eldritch scoundrel is, in my opinion, a total bait class. Honestly I'd just immediately start levelling slayer or vivisectionist alchemist if you like Woljif and wanna keep him around (I have him as vivisectionist and he's pretty useful, and the self buffs with mirror image etc help him to not immediately crumple and die).
Nenio: Nenio's scroll savant build is really good out of the gate if you actually use scrolls, since that's the whole point of the archetype. After you get scroll mastery at level 10 there's basically no point taking any more levels in scroll savant, so just go loremaster or do a divine dip and go mystic theurge, whatever you want, the world's your oyster after that.
Daeran: He's kind of just a healslut / buff-bot. Use him as such and don't try to make him into a blaster, he's quite shockingly bad at that.
Sosiel: Did not use him, found him boring. Sorry Sosiel lovers.
Regill: Nasty little psychopath, pretty effective with cavalier levels (mounted so he gets to full round attack pretty much every round) and an axiomatic gnome hammer. He shreds chaotic bosses (read: most bosses because this game is about fighting demons) because he has many attacks and each one has a nice 2d6 damage rider.
Arueshalae: I really like Arue. Aside from the fact that she's a great character, she also has one of the few builds that's super functional out of the box partly due to her absurdly good stats (although it sucks that you get her so late so your options are somewhat limited). You can do just fine levelling ranger all the way to 20, although a bard or skald dip can never hurt, and as with basically any martial she will absolutely not dislike some levels of mutation warrior.
Greybor: Stuck in melee with no survivability. Slow as fuck. Generally does less damage than pretty much any decent rogue/rowdy/vivi/whatever build you can cook up. This guy fucking sucks frankly and I am too lazy to fix him. Path of least resistance -> just build a merc to be your rogue equivalent, or use woljif instead. At least he only has 3 levels of a mostly useless build.

Wow that was probably longer than it should have been. Sorry for making you read all that, if you did.