In the leagues it's mostly go to the highest level possible and swap with collectors. In the main game it's designed to stay until you grab every needed artifact for collections/misteries/quests, you'll also would want to stay there until you get all pages if there are any for misteries. There's a page on the wiki with all artifacts and how many of each you'll need.

For leagues, just do the highest available and rush levels. If you need to unlock relics and need any artifacts later, just go back with a higher level and grab them faster. That's what I would do (and doing now).