I am, of course, terribly new. The set I have grown fond of is the Magic Set; this evening I managed to max out my heat on the set (and all the rest of my 2* gear). Since I have just reached Rank 5-1 and have been informed that it will get much harder than it already is (which is hard to tell so far, seems to go from hard to simple every mission), I think it time to upgrade or switch.
Right now I am aiming to eventually obtain the Divine Set (which seems to have the best stats of the Magic Armor area), however I want some input on to whether this is even useful, like I think, or if it's actually terrible of an idea for the meta game and/or, eventually, PvP.
If it is good, what would be recommended for the set in terms of weapons, or a shield? Right now I use Cutter (of which I am unsure of what to eventually upgrade to) and mainly stick with the Frost Gun, but know that both and their upgraded sets are all likely pretty bad.
My apologies if this actually belongs in the New Recruits section.
In the shallow parts of the Clockworks (Tier 1), monsters deal primarily normal damage. As you go deeper into the Clockworks, monsters increasingly deal their preferred damage type (e.g. piercing for slimes). But even in Tier 3, there is a lot of normal damage. In particular, the Vanaduke fight on depth 28 is loaded with normal damage. So you do not want to wear the full Divine set. Instead, consider mixing and matching sets...
You've asked what weapons you should use. This is a personal choice, and there is no right answer, and you can change your mind any time you want. Here is the process that I recommend, when planning a loadout of equipment:
A. Decide whether you want swords, guns, or bombs, or a mix. Read the relevant guides: my sword guide, the Gunslinger Guide, and/or the Bombing Guide.
B. As you read the forums and wiki, focus on the 5-star items, not the 2- and 3-star items where you currently are. This helps you avoid getting trapped in alchemy lines that you don't want. You should select the 5-star items you want, and only then look back in their alchemy paths, to see how to get them.
C. For armor, focus on the armor sets that give offensive bonuses to your intended weapons: Wolver (swords), Gunslinger (guns), Demo (bombs), or Magic/Chaos (for massive offense on everything, but bad defense). Divine Veil and Grey Feather Cowl/Mantle are also worth considering, if you want to buff up your defense.
D. For swords and guns, coordinate your damage types. That is, if you're going to be using two or more swords and/or guns, then try to make them be distinct non-normal damage types. This idea is explained in the starting sections of my sword guide. Bombs are more idiosyncratic in their effects (knockback, vortices, statuses, etc.); read the Bombing Guide for help on those.
Your thread is fine in this forum; you just need to do a little more work, to make your questions more specific. :)