This part is pretty simple; just play the game. You get experience (EXP) for basically everything you do. What isn't immediately obvious, however, is how much EXP you get from doing activities - Main Missions (hexagon icons on the megamap) always give a fixed amount of EXP, which you can verify by putting your map cursor on any given mission. Side Missions (pentagon icons) and open world activities (small red or green icons), however, scale their EXP rewards with your level, giving a percentage of the EXP required for the next level (30% and 10%, respectively). For this reason, you'd want to save these things for last as you get more bang for your buck EXP-wise the higher your level is.
At this stage of the game, gear doesn't really matter all that much. The game can currently only be played on "Story" difficulty, which is a cakewalk even for the unskilled as long as you remember to keep replacing your gear with newer gear that's at (or close to) your current level. If you forget, the game handily reminds you about "outdated gear" with a popup once your gear starts falling behind by about 5 levels.
After level 30 - the World Tier grind
(note: If you already own the Warlords of New York expansion, you can skip straight to the leveling section for it down below.)
You're probably wondering right now why your level just turned into a three-digit number. At level 30, the game introduces the Gear Score and World Tier systems, which are just fancy ways of saying "there's more grind ahead", but now the focus is on equipment rather than level.
You've probably noticed by now that a mysterious, new high-tech faction took over the map and turned it all red in one fell swoop. Your job now is to get strong enough gear to tackle the three Stronghold missions again (District Union Arena, Roosevelt Island, and Capitol Hill). To do that, keep tackling open world activities and missions - the game's designed to drop gear of a steadily increasing Gear Score, so you'll fulfill the Stronghold mission requirements eventually.
After World Tier 5 - Time to Min-max
Starting a build
Now is where the real meat and potatoes of the game is.
As you might have noticed while getting to this point, all equipment in the game has some form of Set Bonus - a stat increase that only applies when you wear a certain number of armor pieces bearing the same logo and set name. This info can be found right below the equipment's name in the right side of your inventory.
Planning your build can save you a lot of undue frustration, so ask yourself - "What do I like doing in this game?" Most people I ask this question to simply want to shoot things, so we'll use that as an example.
The offensive attribute "Critical Hit Chance" fits well into builds of any weapon class, as it increases your random chances of dealing more damage regardless of headshots, so we'll start with that. For starters, let's go farm ourselves three pieces of Sokolov Concern and two pieces of Providence Defense. For now, don't worry about the attributes - just focus on getting the Set Bonuses going. As for the last piece, pick one of the following based on the weapon you like to use:
|Assault rifles||Fenris Group AB|
|Submachine guns||Sokolov Concern|
|Light machine guns||Petrov Defense Group|
|Marksman rifles||Airaldi Holdings|
|Pistols||Douglas & Harding|
If you're interested in a different playstyle, like having tons of armor or making your skills do a lot of damage instead of your guns, use this community-made spreadsheet as reference (check the "Brand Set Bonuses" tab of the sheet).
If you stuck with the example above, you'll likely notice that you now hit enemies harder with your weapons, which is exactly what we were going for. Now that you have a solid base to work with, you can start farming for the same equipment pieces with better attributes - with the example above, we'd like more "Critical Hit Chance" for more critical hits and "Critical Hit Damage" to make those crits hit harder.
The recalibration table
Recalibration can help with reigning in some of that chaos from randomly generated attributes. At the Base of Operations, if you make a left and then another left, you'll come across the Recalibration Table. Here, you can dismantle gear to add attributes to your table and reuse them later on other gear. The catch is that you can only recalibrate one attribute per piece of gear, but on the other hand that's one less attribute to worry about.
Leveling up (Warlords of New York)
Leveling from 30 to 40 is basically the same as it was during your time in Washington D.C. - tackle the Main Missions and save the Side Missions and open-world activities for when you need lots of EXP.
If you happened to gear your way through the World Tiers, as described above, you can get away with not having to replace your gear for a few levels. Gear Score 500 equipment is effectively level 35, and it'll help you get to that point (and then some, depending on how well you play). Eventually, though, even this equipment will have to get replaced the closer you get to level 40.
After level 40
Unlike the level 30 cap before it, there are no World Tiers to slog through this time, so gear replacement should slow to a crawl. The same build advice from 30 cap still applies, although there are now new Brand Sets and Gear Sets to play around with, such as the Walker & Harris Co. Brand Set.