The randomness in resources, beasts, tiles, heroes, map shape...and the order you find them makes hard to follow a determinated path. Add the faction traits, the magic system, and the loot you might find and all gets more and more complex, as you have to make long-term decisions, at same time that deal with improvisation.
The game changes a lot from early to mid game and when late game arrives, all the cards must be on the table.
In early game, exploring as much as possible is the most important. The AI is not agressive, but monsters are. It is better to prepare an army with your heroes and farm only easy battles while exploring. You will have to prepare routes between different lairs for that. Although many people recommend to split them, I find difficult that, I prefer keeping them together untill level 4 and choose a path. 2 Assassins or 1 and 1 warrior. Don't get complications with magic if you don't have a good gear, but choice is yours.
Untill that moment, the city can only focus in production. I always research first civic tier first, and usually the second too. The second city will come as soon as you can cleanse the land, but if there are big beasts, forget it and keep exploring. Usually, a relatively safe second city can be settled when your heroes are in level 4. IF you can deal with them and some clubbers, you might finish second Civic tier and start the third, or finish first Warfare tier and give heroes a mount.
Then you can split them, give them an army, and start spamming pioneers to build more cities and outposts to connect all your cities. If you prepare armies without resources (leather and spears) you can advance in the civic tree and keep resources for later. These cheap units will benefit from the unit size grow (3-4-5...) and the army size that provides the civic tree, more than the first weapons you can research. You will lose many of them, but if you can keep producing an army for your heroes, they will go stronger.
And at this point, you might want more heroes, if you find them, or better weapons. That means Magic Tree or Warfare tree...As you have civics developed, it doesn't matter, your empire is growing. Or change between both trees, and improve your fortress.
You will have met an AI or two, so you can have an idea of your power, and you will know if you need more troops (probably). So a third hero with his army comes in hand. Now you might explore part of the wildlands to increase XP quick, if you are not bothered by AIs. So it is time to advance in the Warfare tree and start some good units at the same time than cheap ones. You will need a lot of resources for the endgame units, so don't use them all. Crystal is difficult to gather, but quick in spend in large groups.
Your heroes should be now good killers, protected by units with lots of HP and decent attack, so you can deal with more lairs and quests, and clean those monsters you could not before.
The late game will depend on AIs and cleaning wildlands, so that is too much to say.
I hope this helped 