It's kinda hard to not explore when there are precisely three areas:
90%: Trash mobs, not worth your time yet can whittle you down fast.
9%: Instakill gods outta nowhere
1%: Actual useful leveling mobs
And you have no way of keeping track of where these areas are in relation to you, as the map is completely obscured when you spawn.
You should learn what the enemies are. See the enemy and you know what kind of area you're in. Too tough? Then back off and change direction.
Golems and sprites (those fast moving elemental flames) are sure signs that you're entering the mid-level area. Press on and you'll see dark elfs, ogres and the like, further in you'll start meeting minor gods.
Also, for non-heavy armor users, your speed (at level 10 or so) should be faster than the bullets. Back paddle -- always know which direction you came from, a direction you've cleared of monsters, safe to back into -- the bullets disappear outside max range and none will hit you.
If you find taking a single hit from a sprite hurts you too much (even as a robe user), you need to find better gear. Get a defense ring, even the +3 one will do miracles. Gear drop is pretty random in this game, so it may take a long time before you find any. I know because I've leveled a Huntress and Necromancer to level 20 without ever finding a single upgrade to their class ability items.