You may find a site like https://ayumilove.net/raid-shadow-legends-list-of-champions-by-ranking/ useful to see faster which champions are worth more than others - it also has rankings per type of content, gear recommendations and some general information about the game. That doesn't mean you should blindly follow it, certainly for the gear you shouldn't look too closely at the recommendations because those are kind of long-term goals, in the first couple of weeks and months you just use the best gear you can find, even if it's a long way from the perfect gear from that champion. And if you're using those champions in somewhat different roles, the gear priorities will also be different.
Among your other champions, Warmaiden is the most important one to develop, because of her third skill with the ability to decrease defense on all enemies. That's useful everywhere but very, very important in arena, you will see countless teams with Kael and Warmaiden together. Always the same approach: Warmaiden goes first to try to decrease defense on all enemies, then Kael hits his AOE attack with much higher damage than he'd otherwise have. Later on you may get champions that can increase attack on your team, such as Spirithost, which makes that tactic even more devastating (Warpriest and Valerie also have increase attack buffs but only 25 percent, Spirithost has 50 percent). But remember, it can only work if you have enough speed (as well as accuracy on Warmaiden, because if your accuracy is low the opponent may resist the decrease defense attempt).
As for major mistakes, I think the big ones to avoid early on are:
- getting rid of good champions - always check before sacrificing any rare/epic if they're any good, and preferably keep them in your vault even if they aren't, unless you already have that champion
- putting skill books into champions that aren't worth it - leveling and ascending the wrong champions is a bit wasteful but you can easily get that energy or ascension potions back, while skill books are much harder to come by, at least after you've exhausted the ones you get from login/progress rewards early on
- focusing too much on progress missions or challenges, those are interesting to do but you should only be doing them in a way that helps your account in general (e.g. if you need to get a specific piece of gear from a specific campaign location, ok, but make sure you keep leveling up your champions while you keep repeating the stage to get that gear, swapping other champions in as needed).
- wasting big amounts of gems or silver on things that aren't worth it (with gear, you should level any halfway decent piece you want to use to level 8, possibly to level 12 if it's really important, but very few early pieces of gear are worth the huge silver cost of bringing them to level 16).