Look at the wiki entries for the enemies you're fighting. You'll find that pretty much only lichens do piercing damage, which is why Cobalt is terrible. Anything with only normal and piercing is terrible unless it has other bonuses, like the Wolver set.

You need to have some combination of elemental resist and shadow resist, and tailor your gear for what's on the gate map. If it looks like you're only going to be facing enemies that do elemental damage you can drop shadow entirely, but if you might run into fiends or a graveyard map you should have some shadow resist. Sometimes you mess up, but that only means paying attention to what you're facing and knowing when to be careful. These resists need to be on your armor and helm (and trinkets, but meh), not your shield. Resists on your armor only work when your shield is down, and resists on your shield only work when your shield is up.

Any 2* sword should get you through it, but try to get 3*. I liked my Autogun a lot but I upgraded the first one I had to a Needle Shot, which was a mistake because the piercing damage couldn't kill turrets. I switched to a Pepperbox, which is great. Owlite Shield and Skelly Suit are fine. I recommend getting a Firebreak Helm or Magic Hood for some elemental resist. Don't get an Icebreak Helm, because you don't want to stack negative fire resist with the Skelly Suit. After that, get some elemental resist armor for when you think you can forgo shadow resist.