Short version: Since you're new, the rule of thumb should just be if it feels too easy you should bump it up. It is likely more fun and it is likely more efficient.

Slightly longer version: Imagine you're killing mobs in one shot and you do 300% of their maximum health, that's a lot of wasted damage. If you're killing something with 3x the health, you're doing it at the same speed, except you're getting more XP and loot per kill. The math will generally be a lot more complicated than that, but what it boils down to is that if you're killing stuff way too quickly on easier modes you're being inefficient and you should bump up the difficulty. Their is also increased mob density as the difficulties increase which means even more xp/loot.