My friend tried to barrel through the game without getting sidetracked by sidequests. The occasional hunt, but no long power-leveling missions.
He did fine up to the dragon guarding the (SPOILER)Great Crystal, but was underleveled and underequipped to defeat that boss.

I'd recommend keeping at a fairly good level, without wasting too much time on getting 100-chain item bonuses or stuff like that. The game should be challenging - not a cakewalk, but not so difficult that random monsters are a serious threat.