Ok coming into this guide I'm going to assume that you've never played this type of game before and I'm going to explain everything I can from the ground up. I am however going to assume that you've at least got the controls down.
Use of Practice mode and an Explanation of Artifacts
On a practical level I can't say that practice mode is all that useful. You can't tell how well a build is going to work until you actually try it out against other players in a real game. That said it is a chance to get used to the controls and fine nifty little short cuts in levels. Most importantly though it lets you use all of your skills even if you haven't unlocked them, and also lets you look at the items you can buy in game.
This is important because it gives you the handy ability to create builds without the time pressure of a normal game.
A build is something you use in order to maximize your ability to fight at any given point in the game, it include the order you get your skills, the skills you get, and your items and what order you get those in. It streamlines your ability to fight and makes you a much more dangerous character.
Now the most important part of a build is Artifacts (or items). Artifacts are any items that are below the first two rows in the Y shop. They increase your stats and sometimes give you an activated ability. YOU MUST, I repeat, YOU MUST, get artifacts in everygame. This is an important fact that many newbies miss out on. You will not win unless you get artifacts and get a lot of them. An important feature of artifacts is that the more powerful ones are made by combining the lower ones, meaning you can buy the earlier types and get their bonus without worrying about missing out on more powerful ones later on.
The artifacts themselves are divided into Basic (the third and fourth rows, these items are the bottom of the barrel and used to combine up into the more powerful items), Attack (the fifth row, these items give you extra attacking ability as well as a few offensive abilities, the more popular ones are the reaper set, which include the bracers claws and mufflers), Defense, (the sixth row, these items give boosts to defense and often give you the ability to recover both hp and mana, the invunerable water is a popular choice here) and ability (the final row, these items give you a HUGE boost in power and, in the case of pearls the last three items on the row, give you the ability to boost your allies attack as well. Generally speaking you should always try for at least one crown during a game since they help you immensely).
By carefully planning what items you use your character becomes very powerful, with a notable exception being Merino, who is more skill reliant. Proper use of artifacts wins fights and games so think hard on your choices here.
Your First Game
Playing With Friends
The Character Roles and basic tips
The Basics of Teamwork
Future Games (aka. Picking your battles)