If your objective is progress through the levels the fastest way possible:
World 1 and 2 : Farming at the arena (except for 6 green orb, dropped by the dark lord).
World 3: Farming the ninja spy (the exp from the arena is nearly the same)
You can't drop the girls from the dark lord, but you get the story girls quicker and you have an higher level (meaning higher cap, etc).
If you want to get as much chance to get girls as you can:
World 1: Farm arena
World 2: Farm the dark lord
World 3: Farm the ninja spy.
But your progress will be slower.
For the money:
Priority #1: Get ALL affection items at EVERY reset. Ever. This is your . You have NO reason to let an affection item untouched in the market.
Priority #2: Stack the money needed for upgrading a girl if you have enough affection in the market timer (1K/10K/45K).
BY FAR THE MOST IMPORTANT. The following is far less useful.
Priority #3: Only then, you can buy items from the market. Only hardcore items for now.
Priority #4: Get as much exp item as you can. You may stop if you have enough spare. Max everytime at least Bunny (since you should use her as Alpha, she beats everyone else for now). You don't lose exp if you overcap the last level, it will be gained once you level up yourself (Edit: Up to the maximum of the next level, so don't go overboard)
Priority #5: If you have a steady cash flow, no need for a expensive item, you can use the great pachinko. Only if it will not hinder #1 and #2 of the next market timer.
Don't do that for now: Buying stats.
NEVER DO THAT: Buying consommable. Way too expensive.