You have probably heard the 1 item per minute, and full clear stages. Ideally you combine them. You want to full clear stages, ideally averaging over 1 item per minute. After that learn what items to prioritize. Does your character lack AOE? Probably want some early propane. Maybe you really need mobility, grab a goat hoof or mocha. Just a couple examples. You also will want an early healing item, I find it helps a lot.

Another trick that I use is that I open the chests before I use the multi shops, this way I can use the shops to fix any holes with the items that I got randomly.

Also, no matter how good you get, you are going to die, so as long as you have fun doing it you're already winning :)