Questions for the more experienced players: what's up with the "Golden x" gear sets? Are they any good? Do you craft them or are they drops? If you craft them how do you get to them past the lvl 20-25 crafted gear (which seems to be the limit of crafted gear as far as I can tell)?
Also, what are the additional difficulty levels like (e.g. High-Risk, High-Reward, Paranoid, etc.)? Are they worth putting on, or are they only for really uber builds?
Golden sets don't drop, you can only craft them. Any sets are craft only. To open them you need to 'level' your craft. Once you craft lvl 20 sneaker, you will open a recipe for a lvl 25 sneaker. Once you craft lvl 25, you will get a recipe for a lvl 30. And so on. Golden sets are opened at level 45. To craft them you need to level your craft level for sneakers, uniforms, etc, and also crafting levels for the needed materials.
The sets were designed to be worse in terms of the stat budget than a legendary or a crafted purple item with perfect rolls. So, usually, it is never wise to go for a full 5 part set. However, some intermediate set bonuses are good and useful. For example, 3 part draki set for albus or 2-part gem crafter set for a caster, which needs hit chance (gear gives 20, ring gives 20, 2 set bonus gives around 150-200 ESP).
Golden Leather set is really good for battle mage Irene. With a uniform, wrists, and sneakers, she will have a solid amount of hp and around 100 speed. She will also get stun immunity, which is really good for Irene, because she lacks support slots. Some people use golden leather set on albus to get even more block schred. Some people use golden set on Heixing for speed bonuses.
Also, the devs add new lvl 50 class specific sets, which are actually quite good. The new barbarian set makes barbarian Alisa even more OP. Trap set makes trap builds fun and viable. New Kylie set is useful for both hacker and engineer.
Regarding difficulty levels.
Limit growth: prevents outleveling. You cannot grow above recommended level mission. If you replay the game, this option is mandatory. I think this option is mandatory even for the first playthrough.
Paranoid: extra masteries that enemies obtained are more likely to form a mastery set. Almost no effect in the end-game, slightly more difficult in the early game.
High-risk high reward: enemies have a slightly better stat, you get twice the amount of loot. This option eliminates any need for grinding.
Basically, enable everything. You will be fine.