@Ron Mexico:
Hello,
Your priority is to do both Classic dungeons and Events at the same time. You will win stamina shards by doing dungeons, which will refresh your stamina, allowing you to do some battles from an event before going back to the classic dungeons until you get a stamina refresh and repeat the process.
Events are limited in time, and while they will come back you can wait several months before seeing an event that you missed. Events grant far better rewards than Classic and Elite dungeons, on top of unlocking new characters and their memory crystals (which break the level cap). Since you just began, you priority should be to unlock Tifa and her memory crystal before the event expires (though you may find that task very difficult, if not outright impossible since you lack a good team, with leveled-up characters, good equipment and honed bailities). You may be able to unlock Tifa in time, but I'm not so sure you can unlock her memory crystal. You can focus on Lightning's event after that (though feel free to do the easiest levels of Lightning's event right away, since they give orbs, eggs and equipment).
On the topic of eggs: use them. Do not hoard them: you need every level you can get, especially if you want to be able to complete some challenges. Use them on named characters. Also, do not level-up "core" characters (White Mage, Black Mage, Warrior, Knight, etc): they are far, far weaker than their named counterparts (you can keep White Mage as long as you don't unlock a better white magic user; Arc from FFIII is correct, and Tyro can act as a white Mage). Some of them can actually give you some very interesting and useful materias once they reach level 50 (namely White Mage, Summoner and Black Mage), but you shouldn't make this your priority (you probably won't unlock their memory crystals before a while).
Avoid daily dungeons for now, though you will want to run the EXP dungeon (Sunday) to level-up your characters. Gil dungeon (Wednesday and Saturday) is necessary to run once you get a few interesting items and abilities which you'll need to improve (and since you just began, you will need money). You can get upgrade materials Monday and Friday. Also note that the Tuesday dungeon is very important, since it drops Power and Black orbs, which are necessary to craft a lot of abilities.
Never sell orbs. I can't stress this enough. Orbs are essential to craft and hone your abilities, and we will be able to upgrade and downgrade orbs later.
You shouldn't sell your equipment either, unless you want to get rid of 1* items, 1* useless accessories, upgrade materials (when all of your equipment is upgraded to the max) and eventually 2* equipment which became irrelevant.
Talking about equipment: 1* items are useless unless you use realm synergy with them. You will quickly sell every single one of them when you will have better gear. For the time being, upgrade the pieces of equipment you got to 1*++ (you can upgrade an item only two times; if you upgrade a Dagger, it will become a 2* item and if you ugrade it again it will become a 3*, but will still be less powerful than a "true" 2* item or 3*; to not confuse the quality of items, we keep the initial level and add a "+" to indicate that said item is upgraded; thus, a Dagger upgraded two times is considered a 1*++ item).
Abilities are the most important thing you need to worry about after equipment (heck, good abilities can help you tremendously, even with bad equipment). You can hone an ability up to rank 5. Usually, you will stop at Rank 3 or 4 for most of them. Do not bother crafting or honing 1* abilities, except for the mandatory weakness you need to exploit (that is assuming you can't craft a 2* or 3* one). Among 1* abilities though you can safely craft and hone Boost to R5, since it is a very useful ability which stays useful for a while.
Mid-game you will focus on 3* abilities, then 4*. Most 2* are situational at best, and you shouldn't waste orbs creating and honing them, though you will definitly find the Spell Blades ones useful, and as long as you can't have 3* abilities it is best to use those. There are 2* abilities that you can to craft and upgrade to R4 minimum: Double cut and Retaliate (that last one is almost mandatory for a lot of encounters, but I'll leave the explanation to others).
Since you just began, it may be a good idea to pull right away: you are in dire need of stuff, it is not the time to be stingy. On top of that, Lightning's banner is a rather good banner, it is thus a very good idea to pull it.
For below: *gasp!* The OWA guy!!!!!!!