Your weapons: Fire and freeze are both powerful and useful statuses. However they are the only statuses in the game that can't exist on a single target at once. I would recommend the Voltech since both fire and shock can be on a target and you get more damage from the status.

Armor: Your current armor set has a few solid options. One is highly defensive and while it doesn't offer damage boosts it offers excellent protection from Shock and Fire, another has shadow defense as well as elemental but lacks normal defense, and the most commonly used has powerful damage boosts but massive penalties to status.

You should probably invest in some sets to protect from each damage type, I would suggest Wolver and Shade sets.

Shields: The owlite shield is a solid choice but it is always good to be prepared, the Skelly shield line and the Bristling buckler shield should offer the coverage you need.

As for OP sets each person has their opinion. I like to be able to shrug off status easily while others want more power and speed even if it means sacrificing defense.

Armor: I'd say keep going with your Magic set instead of a Wolver line. Going for Grey Feather set is one of the best things you can do as a noobie because having a free max fire defense and max shock defense set basically gives you free roam of most of the important areas in the game as of right now (FSC, danger missions, shadow lairs, etc). Personally, I'd say go for Grey Feather over Vog Cub, as max Shock defense > Sword ASI VH, in my eyes, but I'm sure people will tell you otherwise. I just see the ASI as a useless crutch-- not many armors actually have it so when you lose it you'll be lost in a world of slowness and you'll take damage constantly. Since Grey Feather gives no significant buffs besides its amazing defenses, you'll learn a playstyle and then you can just be better than you were before when you actually put on a different set that gives other bonuses (such as Chaos, which is worth investing in after you've gotten some defensive armors).

Shield: Stick with Grey Owlite Shield, or consider Crest of Almire. Both give maximum Fire and Shock defense which are both amazing statuses to defend against, with the main differences being that Grey Owlite Shield is Elemental (more common) while Crest of Almire is Shadow (more dangerous). You can decide how you want from that. Additionally, consider Ancient Plate Shield-- it's basically a free shield, you just need to run a certain boss ten times and you'll have enough tokens to buy it. It (probably) has the highest Normal defense in the game (honestly the only one that matters), and has maximum stun resistance, making it one of the best overall shields in the game in my opinion. Don't know what shield to take? Ancient Plate Shield works just as well as any specific shield would, but the max stun resistances makes it not get broken in one hit from the heavier monsters, which is, you know, good.

"Sword: Brandish (Fire Path)
Gun: Shadowtech Alchemer Path? or Pulsar?"

This is why I wish I initially posted here to give you ideas. e.e
For swords, consider Nightblade rather than Fireburst Brandish. And for guns, consider Storm Driver rather than those two, or Wildfire/Polaris if you really want to go for a Pulsar (I like Polaris better, but Wildfire is more useful for end-game farming, so it would be the priority). Or for what it's worth, get both Shadowtech Alchemer and Voltech Alchemer (or a Pulsar)! It's great to have options and both Alchemers are well worth the time and money you have to invest in them, as they're fantastic guns. If you really, really just don't want to go for Alchemers, then go for Phantamos and Arcana, which are both Blaster upgrades. They have nice hitboxes, nice knockback, nice damage, they're just overall good guns. They're not great, but they're certainly not bad and their drawbacks are few and far between. They're the ultimate guns for picking up if you can't decide on a gun. Or, as mentioned in Bopp's sword guide, you can go for Iron Slug, which is an amazingly strong gun that can be used effectively in any area, making it a great choice as your first gun.
Acheron (Nightblade's upgrade) is extremely powerful, and can very easily hold its own even in areas with enemies resistant to Shadow (seriously, when it got buffed people actually did one of the final areas with just Acheron and Shadow weapons, and the area is 99% filled with enemies that resist Shadow damage). While it may not make sense now, it's probably better to go for Nightblade rather than Fireburst, and I'll tell you one more reason to go for Nightblade rather than Fireburst in a moment.

"Also, is it worth crafting the 3* Cobalt Armor/3* Calibur/3* Great Defender/3* Bomb/3* Blaster"

The Cobalt armor set is the worst set in the entire game. No joke. It wouldn't be worth crafting if Three Rings payed you to craft it. Defender is the same way, except it's only the second worst shield in the game so it has that going for it at least. Calibur is good but not great and is moreso a collectors item when there's so many options available these days that outperform it. (Acheron for example, which despite being a Shadow sword does more damage to enemies resistant to Shadow than Leviathan Blade does to any enemy).
Blast Bomb and Blaster, however, are both fantastic, and well worth investing in, although you should probably hold off on that until you're Vanguard, where it should be a first priority if you still want them.

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Okay. This is a personal thing and I know it's probably going to sound kind of weird, but get the DLC. The DLC is well worth the money-- the areas are extremely fun and innovative, the boss is amazing and interesting, and more importantly, the rewards you get from it are amazing. Not only do you get hands down the best Shadow bomb in the game (and one of the best bombs in the game period), you also get one of the best Elemental swords in the game (the reason I said make Nightblade instead of Fireburst Brandish). Additionally, you can craft the Perfect Mask of Seerus, which is basically just Grey Feather Cowl but gives Gun CTR Med and Gun ASI Low; it's honestly one of the best helmets in the entire game (yeah, I'll go that far about it).

If you don't want to actually pay real money for the DLC, then save up for it and buy it with Energy you bought yourself. I know it's a lot, but the rewards are worth significantly more than the cost of buying the DLC. It's definitely something you should look in to as it will make your life so much easier and you'll be better off because of it.

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As for farming Orbs: just be patient! Make sure you're farming the right areas and that you're on Elite difficulty, and after that, patience is all you need. If you haven't already, try referring to Fehzor's guide on farming rarities and other items, there's a lot of helpful information there: http://forums.spiralknights.com/en/node/108732

Weapons

Combuster and Acheron are two of the most powerful swords in the game. They are also easy to use. The only problem here is that you might get a little bored, because they have exactly the same style. It would be nice to mix in a different elemental sword, or maybe Gran Faust, or maybe a piercing sword, just for variety. But you can always do that later.

Umbra Driver is a great gun, but there are very few situations in which you will want to carry both Acheron and Umbra. So you're basically planning for only two loadouts: Combuster and Umbra, or Combuster and Acheron.

Consider replacing Umbra Driver with Callahan or Iron Slug. Or consider replacing Acheron with Final Flourish/Barbarous Thorn Blade. Or Dark Briar Barrage. Then you can have three useful two-weapon loadouts instead of just two.

Actually, I'm assuming an important detail that you've omitted: Do you plan to continue using just two weapon slots? Or do you plan to use weapon slot upgrades? Either one is fine, but we can't plan a good loadout for you without knowing how many weapons are in it.

Armor and Shield

Grey Owlite is a very reliable defensive shield. It's a great first choice.

In armors you are deciding between Vog Cub, which offers a nice mix of offense and defense, and Grey Feather, which is highly defensive. My armor guide advises you to consider defensive armors only after you've failed with more offensive armors. So I recommend Vog Cub strongly over Grey Feather right now.

Dibsville's viewpoint is reasonable, but his view of ASI as a "crutch" versus shock protection is pure opinion. You could just as fairly view shock protection as a crutch that lets you not learn how to dodge.

Smalltownguy is right, that you will eventually use Barbarous Thorn Shield more than Grey Owlite Shield, because its defense is adequate for most situations (and it offers an offensive bonus). Eventually you may even use the 3-star Swiftstrike Buckler more than Grey Owlite Shield.

But right now you seem to be concerned about defense --- maybe because your computer is laggy, or you're not confident in your skills yet --- and Grey Owlite Shield is a fine choice.

When you are somewhere around 4 stars, you might want to pick up Swiftstrike Buckler as a second shield. Also, when the next Kataclysmic Confrontation event occurs, be sure to get the 3-star Black Kat helmet. These are both cheap ways to start exploring "glass cannon" (high offense, low defense) loadouts.

Holy-Nightmare, I mostly agree with your choices, but there are too many. Which ones would you advise Paraxion to get first, if you had to pick just one helmet, one suit, one shield, and two or three weapons?