I thought I was hot shyt. Kirin laid me the fukk out for 30 minutes straight
my little pony plays no fukking games. I didn't even know how to attack it.
Full sets don't really matter until a bit later in the game. They'll make it clear how they're special too.
Fishing is whatever. I don't even bother. Cooking though gives you all kinds of buffs - the 'ingredients' don't really matter all that much, but if you see those special cactuses, strange fruits, etc around those collection points count towards it. For harder monsters, you might really need to consider not leaving the camp/canteen without food.
Capturing gives you waaaaaaaaay more materials than normal. To do it, beat a monster down til they start limping and their map icon has a blinking skull on top of it. Then hit it with a trap (shock trap is easiest) - just lay it at their feet or in their path. Once it's stuck, just throw 1-2 tranq bombs at its feet and it should be done simple as that.
Ammo is only for weapons that use it. Kinsects are for the glaive. Both of those weapons have their own system for it - and I've never used either so I can't really detail much else besides that. I know bow gets crazy and glaive is really dependent on how well you time attacks from all angles.
I wouldn't call it 'building', but a lot more features open up as you do quests and progress the story.
Upgrade when you can, but most of the Rarity 1 - 2 stuff isn't even worth it. Early on the main focus should be on the skills that can help you most. As for weapons, always - but make sure to note if you're using an elemental weapon or not. You don't want to take a fire weapon against a fire monster for example, life gets way more complicated if you do.
There's the research stuff, basically just check in with the NPC in town and they'll give you new info and stuff after you've racked up enough points for a specific monster.
There's really a ton of shyt still, and I'm just getting the hang of it now myself.
edit: oh yeah, regarding weapons - feel free to upgrade those pretty liberally. you can walk back upgrades early on in the game so you can test different brances