One of the perks of getting Mercurial, is that it's somewhat cheaper to make than other armors because you start at 3*. However, you have to buy boss recipes and you can't get them from HoH. Functionally, the MSI is not that useful, but the resistance against shock is what's really good about Mercurial. Now instead of getting interrupted multiple times, you only get interrupted twice(initial shock effect and shock effect at the end of the effect countdown). Also, you are interrupted for a shorter period of time. MSI does help you get through traps and dodge Gun Puppy/Polyp attacks.

The main problem with DVS, Winmillion (or WHB) is that you don't have much crowd control or range (Winmillion does low ranged damage T3 ~56 per bullet, so I don't really count it as a ranged weapon). I recommend having some sort of heavy hitting weapon like say a Troika-series sword or a couple Alchemers or an Iron Slug. (it's fine if you are in a party that have people with crowd control or range, but getting your own crowd control or ranged weapon is good when you need it)

Learning how to use your normal attacks is very important with the cutter and spur series. Personally, I play very defensively with these swords. (I could talk for far too long about how one can use these swords but the explanation gets garbled up and incomprehensible)
-My way of using my WHB is that I spam the first attack of the combo and use the 2nd hit to push small enemies away.
-For the Winmillion, I also like to spam the first attack of the combo to be defensive. If you want to dish out as much damage as possible in 1 combo with your Winmillion while standing in place, use this sequence of moves Attack>Shield>Attack>Shield>Attack-Hold>Attack-Release (then shield cancel and walk away or something)
This gets off 4 first-strikes from your Winmillion.

I also have a Vile Striker, but I didn't bother upgrading it because I only use it for poison, and DVS is no better than VS for poisoning enemies (DVS is just a damage upgrade, which will be useful if you are using it as a main damage dealing weapon).

As for the Omega Shield, I have heard that the 4* shield is almost as good as the Omega Shield, so you can upgrade your Stone Tortoise Shield last (out of all your equipment).

I hope what I said makes sense.

All you need to use Combuster very effectively is Chaos gear and then it's boring. I barely ever use my Combuster anymore.

The alchemer switching trick is a way to increase the rate of fire for regular attacks on any alchemer. You can find many explanations by searching Google:

http://www.google.com/search?q=spiral+knights+alchemer+switch

Final Flourish is generally cheaper to get as you don't need to hunt for recipes or buy them (which is usually a few thousands more expensive, 3* recipes especially). What interests you the most? Both generally work for both purposes with the charge, though not necessarily as well as the other.
Final Flourish has better single target damage but is hard to use against crowds.
Barbarous Thorn Blade is good against crowds but will do little damage against single targets unless they are resistant to knockback. Note that Final Flourish will still do greater damage with the charge vs say, Trojans.

Well,I entered very late for this but,if you want a good set for the long run,you want to focus on covering as much protection with your armor and have two weps that work well together.

Combuster is a realy nice sword if you can keep the fire damage counting(aside its obvious well-doing in Shadow Jelly Palace).

Mercurial(as well as all the Jelly set) is kinda weak compared to other sets since it only provides protection against shock and Pierce,but its speed bonus could be nice for kitting,also I recommend you put some Attack Speed Increased on yourself if you want to do kitting.

Flourish is quite a choice,since most of the enemies you will have contact with during your grinding(aside constructs) are either weak or neutral to piercing,its awsome for VAna in his first stage,and its incredible for Fiends,wich will most likely be the category of enemy you'll hate the most.But for flexibility's sake,carry a elemental weapon as well.

Vile Striker is good for its Poison bonus,and since its fast,you might like it.I recommend you try to put as much damage in a minimun of time,since the poison is exactly to weaken the enemy and make your hits more lethal.

For my personal opinion,dont grab the Shadow line of alchemers unless you plan to use it on OCH(In wich case,I DO recommend it) to get the Rocket Hammer and DR,instead grab a line that you feel more comfortable with on the elemental line,since elemental guns are quite efficient as sideguns for Gun Puppies,Howlitzers and maybe even Polyps,but if you want to be a professional gunner,make your choices as you will.Also for the Alchemer swicth thing,get some ASI (from maybe the gunner set) so it can actualy be efficient

Also,keep in mind ALL(praticaly) enemies do Normal damage,so make sure you have that.

also you might like to have some attack bonus,but that depends on how you play.
Well,I recommend you get a Shivermist,since it makes a great crowd controler in the field and is usefull in just about everywhere....

Oh,and unless youre good at keeping enemies where your party members want,dont touch the Leviatan or Pulsar line(unless your going to solo something,in wich case its ok.),their knockback will be the bane of everyone's existence if you dont direct it right....