There are as many schools of thought on leveling as there are players.
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My strategy of of play is due to being anol about getting the most bonuses ( 5-5-5 ) from each level-up. I'm a glutton for punishment, anyway. I play at 100% diff, from the start. This is not to say, this is the way the game should be played, nor is it to say, that it is the way the devs intended it to be played. But it is a viable strategy for a very powerful character. The problem one could get into, is that you could find yourself training all the time and not playing the game. You should find the balance that works for you. I like to play for a while and then train a Major ( or two ) to level. I have also grinded for a week to max out my char and then play the game.
There is no right or wrong way to play, when it comes down to it. The game is so flexible and vast, your only limited to your playstyle and imagination. There are some people that finish the game with a lvl 1 char. Either by not using any Major skills, or by never sleeping. A low level char with high to maxed out skills, can slaughter ANYTHING in the game.