Concentrate on getting one good farming hero to level 5.  

Along the way complete the missions/challenges which will require farming for some specific equipment and completing some dungeons.

As your farming hero gets stronger and you need to level up some stronger heroes, then you can work toward completing the campaign on each difficulty.

So I'd say prioritize

1. Missions/challenges

2. Farming to leveling food heroes and get specific gear as needed.

3. Work your way through the campaign.

Running dungeons seriously should wait until you have at least five 5 star heroes (and probably at least one or two 6 star heroes).