Update: 0.58.1 is out. This walkthrough below is 0.58.0 specific. Go to post 35 for a 0.58.1 complete walkthrough.

This content is difficult and time consuming. Some in ways some people aren't going to enjoy. I started taking notes after the Dream Spirit (second area boss) in case it helped others. Some notes before the Dream Spirit:

I don't think I'll go back and do the first two sections again until at least 0.58.1 comes out but you can ask for help if you need it.
You can't deal with the statue in the first area until you obtain a skill from the third area.
You can't deal with several enemies in the second area until you obtain skills from the third area:
- 8x Snake
- 1x Mana Demon
- 3 Unpeople fight
- 5 Unpeople fight
You do need to pay attention to enemy/skill names and such to determine whether or not your gear should bump ATK/MAG and DEF/MDF.
You do need to read the item descriptions. Some items grant bonuses or prevent specific status effects.

Some notes on my walkthrough:

This is based on the 0.58.0 version. SL intends to make changes that may invalidate small parts or the entire thing. The eventual wiki page should be based on the final version.
Some of my walkthrough is based on WaxerRed reporting strategies on Patreon (particularly in the Final Lock) including an image of finding the hidden key. I don't have a way of contacting them but I hope they don't mind.
Thanks to ADragonDreaming for posting the intended solution to the boulder puzzle since it is currently broken (you may "solve" it in an unintended way that the game doesn't count at this time).
Thanks to Fulminato for creating a map for the Purple Maze area.
I referenced DukeLeto7's Enemies.pdf file a few times. You can find it here: https://thelastsovereign.flarum.cloud/d/57-enemies-list-0560
Use permanent stat increasing potions as soon as you get them. Do not otherwise use consumables unless noted.
Save and heal after every fight if possible.
This can probably be cleaned up a bunch but I'm tired atm. I'll take feedback and apply it if anyone wants to provide it.
I am not guaranteeing that this is optimal, it is just how I did it.
I didn't get the Pink Stone or the Ribbon de Iris until almost the very end so my walkthrough doesn't include any mention of them until then. I included how to obtain them earlier in my walkthrough for your benefit if you want to play around with them.
My section on the Purple Maze area is kind of awful and I'm sorry. If someone obtains a map I'd be happy to mark it up so this section makes way more sense.
I didn't spend any Sx so if you did you will be fine.

For the area after the Dream Spirit (second section boss):
Equip: Big Axe, Icy Book, Frozen Hat, Winter Cloak, Feather
Fight the Dark Blue Flame.

Use Furious Strike on the two middle enemies and then regular attack the Penitent Flameflies.

Equip the Magic Crystal and heal. Equip the Big Axe.
Fight the Red Flame.

Use Furious Strike on the Penitent Snake and then regular attack the Penitent Flamefly.

Equip: Big Axe, Fire Shield, Burning Helm, Flashfire Armor, Feather
Fight the Light Blue Flame.

Use Furious Strike on the Penitent Snake and then Furious Strike the Penitent Shard.

Equip the Magic Crystal and heal. Equip the Big Axe. Open both red chests.

Equip: Poison Spear, Flashy Shield, Knight Helm, Flashfire Armor, Pickaxe Charm
Fight the Penitent Bear.

Use Furious Strike on the Penitent Snake and then Poison Dart on the Penitent Bear. Then use Blinding Pierce. Keep it blinded and heal as needed. Finish the bear off when it you can one shot it.
Head to the bottom and select Proceed.

Incubus Prison Area 3
You can enter and complete the area in the bottom left (church window pane?) at any time. Might as well do it now.
Third boulder puzzle solution: https://imgur.com/a/3gw0wR8

Equip: Big Axe, Fire Shield, Burning Helm, Flashfire Armor, Black Gloves

Forest - 1x Blood Mosquito, 1x Mana Mosquito
Attack the Blood Mosquito first.
Forest - 3x Mana Mosquito
Forest - 3x Blood Mosquito
Up at the first fork in the road
Blind them
Forest - Ravenous Mosquito
Up at the first fork in the road, guarding a skeleton.
Only use Stun Strike on it and use it repeatedly until it dies.
Loot the skeleton it was guarding (Carina).
Forest - 3x Mana Mosquito
Up at the first fork, past the spot with Carina's skill.
Forest - 1x Blood Mosquito, 2x Mana Mosquito
Blind the Blood Mosquito first turn.
Loot the two shinies but NOT the chest as it is a mimic. Use the teleporter to go back and heal.
There is a key along the bottom of the forest near the mimic but down and left a bit. This opens the magic door in the red castle in the top right area. Image provided by WaxerRed: https://imgur.com/a/59ywHUb
Red Castle - Bottom right wandering orc (Balia)

Equip: Poison Spear, Fire Shield, Knight Helm, Winter Cloak, Mana Chalice

Brown Mosque? - 3x Flamelin
Use Shield Stance twice and keep the buffs applied. Poison them and heal yourself.

Equip: Poison Spear, Icy Book, Frozen Hat, Winter Cloak, Mana Chalice

Brown Mosque? - 1x Icer, 1x Lightnil
Use Shield Stance twice and keep the buffs applied. Silent Shard on the Lightnil, Familial Flame on the Icer, and heal yourself.
Brown Mosque? - 2x Flamelin, 1x Icer
Use Shield Stance twice and keep the buffs applied. Poison Dart the Flamelins, Familial Flame on the Icer, and heal yourself.
Brown Mosque? - 2x Lightnil
Use Shield Stance twice and keep the buffs applied. Silent Shard on the Lightnil and heal yourself.

Enter the cave area. This area uses the silver spikes as Demonic Gems and are needed to open paths blocked by flames. There is one in the starting area.

Equip: Poison Spear, Flashy Shield, Knight Helm, Flashfire Armor, Black Gloves

Purple Maze Cave - 2x Demon (1 Black, 1 Red)
Familial Flame the black demon. Furious Strike the red demon.

Move north onto the green teleport square. Flip the switch and move north.

Purple Maze Cave - 2x Demon (1 Black, 1 Green Vase)
Familial Flame the black demon. The vase seems to alternate between a big attack and a small attack. Defending Wall the big attack if necessary but Sexual Impact one hit it for me.

Grab the shiny near the equipment and continue to the left. Take the teleport pad.

Edit: This area is confusing to write about. Here is a map: https://imgur.com/a/suZqAqe.

Move up and dodge the fight. Grab a shiny on the left (50 Sx). Grab the Demonic Gem on the other side of the chasm and then head to the right.

Purple Maze Cave - 2x Demon (1 Black, 1 Green Vase)
Familial Flame the black demon. Sexual Impact the green vase.

Grab the Demonic Gem to the right and head back left.
Sacrifice the Demonic Gems to open the path and head up. Grab the two shinies (Serum and 50 Sx) while dodging the fight.
The bottom of the left paths has a Demonic Gem.
The left path above it also has a Demonic Gem.
The top path has another Demonic Gem.
The bottom right path has a Demonic Gem.

Use these gems to head back to the bottom and then right. Pass by where you got the rightmost Demonic Gem initially (the second one you got in this area) and head up to open a path for three shinies (Huge Mana Potion and 2x50 Sx) and another Demonic Gem.
Head back to the previous area past the first spot you sacrificed Demonic Gems. Take the very top left path. Head north at the fork.

Purple Maze Cave - 3x Demon (3 Green Vase)
Sexual Impact. Defending Wall and Healing Surge if required.

Head left at the fork for a Demonic Gem and then north for a shiny (Large Health Potion).
Head back and take the left fork where you previously went north. Dodge the fight, grab the shiny for a Thick Helm, and take the teleport square.

Grab the shiny (Mana Potion) and open the new path. This is how you get out. Heal and save. We're going to clear out a bunch more of these fights. Leave the dungeon and heal whenever you need to. Any fights with the black demons can be rough if you end up losing all of your MP.

Enter through the top left teleport pad and fight near where you land.

Purple Maze Cave - 2x Demon (1 Black, 1 Red)
Familial Flame the black demon. Furious Strike the red demon.

Head further down and left. Grab the shiny (50 Sx), Demonic Gem, and fight.

Purple Maze Cave - 3x Demon (3 Red)
Furious Strike. Healing Surge if required.

Follow the bottom right path for a Demonic Gem and head back. Head left to open a path with 3 Demonic Gems. Head down at the first fork for a Demonic Gem. Head up and right at the next fork for another Demonic Gem. Then head left. There is a Demonic Gem in an open area. The bottom right path has nothing. The bottom left path has a Demonic Gem. Fight.

Purple Maze Cave - 3x Demon (3 Red)
Furious Strike. Healing Surge if required.

Head all the way back to the first area you opened up and fight near the open area.

Purple Maze Cave - 2x Demon (1 Red, 1 Green Vase)
Sexual Impact the green vase. Furious Strike the red demon.
Head towards the exit via the top left path and then heading left at the fork. Fight.
Purple Maze Cave - 3x Demon (1 Black, 1 Red, 1 Green Vase)
Sexual Impact the green vase. Familial Flame the black demon. Furious Strike the red demon.

Equip: Poison Spear, Icy Book, Frozen Hat, Winter Cloak, Mana Chalice
Leave to heal and save.

Head back to the open area past the first area you opened up and head right and up. There is a shiny to the right and a Demonic Gem in the open area. Fight.

Purple Maze Cave - 3x Demon (1 Black, 1 Red, 1 Green Vase)
Sexual Impact the green vase. Familial Flame the black demon. Furious Strike the red demon.

Continue along this path for another fight [and another Demonic Gem?].

Purple Maze Cave - 3x Demon (3 Black)
Familial Flame.

You should have completely explored the this area now with 6 Demonic Gems. Open the shiny by sacrificing 5 Demonic Gems at the end of this area and grab the shiny (Wynn).

Equip: Wynn's Scepter, Offensive Rod, Frozen Hat, Winter Cloak, Mana Chalice

Red Castle - 1x Numbermaster
Top right blue flame.
Familial Flame. Attacks harder every third round. Heal and use Defending Wall as needed.
Update: From DukeLeto7's PDF, if you silence this enemy the 500 damage attacks become 250 damage attacks. I did not do so but you can!

Obtain the shiny (Nalili)
Equip: Wynn's Scepter, Icy Book, Knight Helm, Winter Cloak, Black Gloves

Red Castle - 1x Lady Luck
Bottom left blue flame
You want to have high luck here.
Crackling Lust and heal.

Grab both shinies (Tertia).

Equip: Big Axe, Offensive Rod, Thick Helm, Flashfire Armor, Pickaxe Charm

Forest - 4x Blood Mosquito, 4x Mana Mosquito
Furious Strike one Blood Mosquito and then regular attack the rest until only Mana Mosquitos are left.

Grab the shiny (Uyae)

City in Second Area - 8x Lightning Snake
Top left area of town.
Shockwave Strike

Grab the shiny (Yelarel)

Tree w/ Unpeople in Second Area - 1x Zombie, 1x Unhuman, 1x Unwoman
Shockwave Strike

Equip: Big Axe, Icy Book, Frozen Hat, Winter Cloak, Feather

Tree w/ Unpeople in Second Area - 2x Zombie, 1x Unhuman, 2x Unwoman
Use Shield Stance twice and keep the buffs applied. Shockwave Strike until only the Unhuman is left then Stunning Strike.
Grab the shiny (Aka)

Equip: Bix Axe, Offensive Rod, Knight Helm, Flashfire Armor, Pickaxe Charm

Forest - 1x Mimic, 2x Mana Mosquito
Shockwave Strike until the Mana Mosquitos are dead. Use Weakening Slash twice and Shield Stance once to block all damage.

Equip: Poison Spear, Flashy Shield, Thick Helm, Heretic's Robes, Mana Chalice (Pink Stone is potentially better)

Brown Mosque? - 1x Pornucopia, 1x Flamelin, 1x Icer, 1x Lightnil
Pornucopia is weak to Sex
Use Shield Stance twice and keep the buffs applied. Poison Dart on the Flamelin. Familial Flame on the Icer. Shockwave Strike the remaining two until it is just the Pornucopia. Regular attack it while keeping buffs up.

Grab the shiny (Trin).

Equip: Wynn's Scepter, Flashy Shield, Thick Helm, Heretic's Robes, Amulet of Chaos
Push the button in the brown mosque and fight the enemy in the top left.

Brown Mosque? - 2x Flamelin, 1x Lightnil
Poison Dart the two Flamelins. Use Shield Stance twice and keep the buffs applied. Silent Shard the Lightnil.
Brown Mosque? - 1x Flamelin, 1x Icer, 1x Lightnil
Poison Dart on the Flamelin. Use Shield Stance twice and keep the buffs applied. Silent Shard on the Lightnil. Familial Flame on the Icer.

Equip: Wynn's Scepter, Offensive Rod, Frozen Hat, Heretic's Robes, Mana Chalice
Inside the Purple Maze, take the bottom left teleport pad (it is sort of hidden). Grab the Demonic Gem and fight the blue flame.

Purple Maze Cave - 1x Fragile Killer
Crackling Lust. If you don't one shot this you die. Just reload and try again.

Equip: Blade of the Empress, Fire Shield, Burning Helm, Heretic's Robes, Pickaxe Charm
Grab the shiny (Ulrissa). Go back to the first area to the museum building on the right side. Fight the statue.

Museum? - 1x Guardian
Transcendent Strike

Grab the shiny (Janine).

Equip: Blade of the Empress, Fire Shield, Beloved Helm, Heretic's Robes, Pickaxe Charm

City in Second Area - Mana Demon
Sexual Strike

Grab the shiny (Sabitha).

Equip: Wynn's Scepter, Offensive Rod, Beloved Helm, Heretic's Robes, Black Gloves

Black Castle - 1x Ancient Guardian
Weakening Strike twice and keep the debuff up, then Silent Shard.
Alternate strategy from ADragonDreaming: Silent Shard twice, and then alternate healing and Silent Shard. Does not require any RNG on the debuff landing. You should use the Mana Chalice as your accessory if you use this strategy.

Equip: Blade of the Empress, Flashy Shield, Beloved Helm, Flashfire Armor, Feather

Black Castle - 1x Soulbound Lamia
You want SPD, causes Profound Silence.
Transcendent Strike on turn one, you can cast Healing Surge faster than the Profound Silence move but not necessarily other moves. Heal when Profound Silence is down, regular attack otherwise.

Equip: Blade of the Empress, Fire Shield, Beloved Helm, Heretic's Robes, Pickaxe Charm

Black Castle - 1x Primordial Pool
Sexual Strike when you can, regular attack otherwise.
I used one Large Health Potion in this fight.

Equip: Blade of the Empress, Flashy Shield, Frozen Hat, Heretic's Robes, Pink Stone
I used three Mana Potions before the next fight.

Black Castle - Heart of Lust
Use Weakening Slash twice and keep the debuffs up. Use Shielded Stance twice and keep the buffs up. Keep yourself above half health. Use Unwoman Potion to remove Hollowed as soon as you get the debuff.
Use the Givini Potion and a Serum after the fight.

Equip: Wynn's Scepter, Flashy Shield, Beloved Helm, Heretic's Robes, Ribbon de Iris

Black Castle - Forgotten Shard
Weakening Slash, Scroll of Wendis, Shield Stance, and then spam Silent Shard. Keep yourself above half health. Later the enemy starts to buff themself. Use Weakening Slash to keep these buffs from going out of control but don't focus on keeping two layers of debuffs up at this stage.

Equip: Wynn's Scepter, Fire Shield, Beloved Helm, Heretic's Robes, Ribbon de Iris

Nyst
Weakening Slash. -ATK is the most important. You need a double debuff ASAP. Then Shield Stance twice. Use Weakening Slash when 2 turns remain in case the -ATK misses and use Weakening Slash again if it does. Keep buffs and debuffs up. Spam Crackling Lust otherwise.

Congrats!