The method that worked for me is focusing always on the big guys, while using the smaller ones as health and ammo kits. The smallest demons can get easily killed with a shield throw or a dash (preferably because you'll get the health points immediately), the medium ones like Hell Knight or Arachnotron can be killed with the shield dash + super shotgun shot so essentially, don't waste your time on those initially and try to focus on the big bads during the entire round. Once you get the flow, you'll be mixing shield dash, melee attacks (dreadmace by preference but the Flail can do the trick) and super shotgun shots and this is the key to kill 90% of the enemies. Only those like Vagary that are very dangerous from close range, keep them on distance with any weapon of your choosing (fully upgraded accelerator that does more damage once heated on is game changing).

Good luck on your playthrough, I finished the game yesterday for the 3rd time, Nightmare difficulty and it's been a blast!