Try lowering the game speed setting as this game is not playable at normal speed, and you will find monsters killing you in seconds. Set the speed bar to 2-3 notches for more reasonable game play. Additionally, set the game speed to zero for boss fights as some fights in this game are pretty challenging.
This game DOES NOT have auto-save, so be sure to quick save often! Also, use quick save to advantage. Whenever you find yourself surrounded but got some good items and don't want to die, save and return to main menu then reload. The game will automatically clear up the monsters next to you.
Use HP potions whenever necessary and get Buff All from buff magician at the sky island before boss fights.
Since the Heavenly set is only obtainable through high level monster drops, you would want to spend your money end-game at brand shops for the shadow set.
A good farming tip is to find a map next to a town full of melee monsters. Round them up and use spells/charge attacks to kill them fast, then restock potions at the town, or use the inn if you're cheap.
When socketing stat crystals, DEX is recommended since you don't really need anymore VIT or WIS, and STR/INT does not really matters much. 5x S grade DEX crystals will give you 50 DEX, which is roughly 8% crit, 8% evade, and a lot better accuracy, not to mention gunner's attack as well. It's a pretty good all around stat to use for socketing to use especially for end-game.
You can't crit bosses! If you're using the crit buff you're better off using the attack buff instead.