I'd say the best thing to do is to figure out the class and what kind of weapons you like to use and then building around that. Like do you prefer to play up close with close-range weapons or stay back and pick enemies off with ranged weapons? Figuring out your playstyle and then focusing on what weapons, exotics, and armor stats you want to focus on is a good place to start. Especially if you're still going through the campaigns. That way, you have time to work towards specific pieces of gear either while doing them or after you finish them.