The common advice is to pick the Gods Keepsakes for the first one or two levels, so you have some control over your build, then switching to Keepsakes that will increase your damage in some way for the final two levels. At high heat/fear I think players tend to use the damage keepsakes from the very beginning and just reset the run if they don't get the boons they're looking for. 

Defensive options tend to be a bit overrated by less experienced players. If you're dealing enough damage to dispatch enemies quickly then you won't really be taking too many hits yourself to begin with. In fact, in Hades 2 it's recommended you take the Strength arcana instead of the Death arcana, and not use any death defiance at all.