Ok, here are some tips (referring to a previous version):
The water asteroid is quite easy as a starter. The enemies are not even as tough as some of the Freymorian beasts. But ready your resistance spells/wands/scrolls!!
Monsters on the earth asteroid are pretty strong - they can easily wipe a low level (or equipped with cheap gear) hero out. It's still quite possible to reach the Mage Haven early.
There are some more formidable foes on the air asteroid. You're about to vanquish an extremely powerful foe there later on.
The dragons are the most challenging (also dumb) regular enemies in the game. Buff with Nine lives/stone skin and whack! If your hero is not enduring enough, try some specific strategy
You should be able to fight about anywhere after exploring the water asteroid
Levels go up very fast there
Good luck!