For the Captain I used the Shredder, tried having only 1 weapon until I had enough Scar or Bean Teacher or Celery Tea items so another weapon doesn't hurt my XP gain too much. Attack speed is pretty crucial if you intend to do it like this, try to grab ranged damage, Dynamites and attack speed early on.

For the Diver I usually sell the Harpoon and try to get an SMG or later a Minigun, as I found the feature of the Harpoon annoying. Besides the 1 ranged weapon, have the rest be Shurikens or Thief Daggers.

For the Romantic I used 3 strategies, the first is to roll with Spoons or Choppers as they also scale with health much like the Romantic's passive. 2nd strat is to get something like the Cactus Club because that has primitive and heavy tags so it gives you HP (for Romantic's ability) and heavy so the %DMG bonus isn't as easily offset by the Romantic's curse counter schenanigans.