I usually net level 2 in the swamp two screens south of joppa, then go to the canyons two screens north of joppa and clear out a couple screens of snapjaws and such, collecting loot and leveling a couple times. Then I go back to town, sell and buy as needed, and go through the tinker's quests before hitting red rock. Red rock itself isn't particularly dangerous unless you happen to come across an unfortunately boss snapjaw, like the fire-spitting one that killed my first or second character. A praetorian would probably be able to just walk in, murder everything, and walk out. You'll probably be fine as-is up to two-headed boars and the most stubborn of hermits, so you could stand not doing much 'training' in the local area. Just be ready to kite backwards to regain some HP if the situation calls for it, and do try to avoid fighting more than one critter at a time. Chokepoints and corridors are your friend.
Clearing out a few ruins or whatnot might not be a bad idea, though. There's some nasty stuff in them there hills, and your true man, while tough and very powerful, isn't particularly quick (compared to, say, a teleporting or multi-legged mutant), so if you run into something that's both stronger and faster than you, you're probably screwed. So doing a little training in the 'safer' areas might make it less likely for you to run into something possessing both those attributes.