Setting the difficulty too high makes the low enemies very troublesome to kill and even middle class can be a chore to whittle down. Though the experience gain is greater on higher difficulties, the risk vs reward is too great, not to mention tiresome. At first you should aim at gathering materials rather than experience. Play on normal and work your way up as you collect enough materials to be able to achieve decent titles on your equipment. What this means is that you'll be aiming for +100% in your main statistics. If you're a melee type STR/DEX/VIT, magic type INT/CON/MEN, combined should go for STR/DEX/INT/CON or 20% to all is also recommended, regardless of class type. Familiarize yourself with how the crafting system works so that you can make the most of your materials. Press F9 to view your character's current information.
The combined statistic bonuses from your 5 pieces of equipment ideally should be bringing you to your stat bonus caps. Consult the titles page to examine what bonuses can be achieved.
Example:
Weapon: STR/DEX/VIT 30%
Ring: ALL 20%
Armor: ALL 20%
Glove: ALL 20%
Boots: ALL 20%
The above loadout gives 110% to STR/DEX/VIT, and 80% to INT/CON/MEN.
Once you have your stats in order, damage bonuses (+% to races on weapon and/or +% elemental damage on ring) to complement them, and weapons appropriate for your level, nightmare difficulty won't be such a problem anymore. Then you can make enough experience to gain a full level in one stage, or two.
When you find yourself low on materials, doing Endless Search (果て無きの探求) can replenish your stock. You will need a character of decent level in order to get a satisfactory amount from it, though. At least level 20 to do stages 1-4 would make it worthwhile.
