Generally you want to skip the story and just do adventure mode. After day like 3 of a season it's pretty easy to get power leveled to 70, so you just do that and go for the first 4 chapters of the journey to get your free set, then farm bounties/rifts/greater rifts in whatever cycle of life you prefer to get legendary gems, ancient weapons, and whatever set you prefer. There's not really a set progression rule once you're 70 and have your free set pieces, it depends on what luck you have with drops more than anything.
E.g. I'm gated on progressing right now by not having ancient Shenlong's, I'm been farming rifts like crazy for mats to craft / reroll / gamble for them and no luck after ~40 or so copies of them, which is frankly absurd. But all I can do is keep at it for now.