[Nerull]

If you talk to Aribeth and ask her if she has heard anything about the creatures, she'll tell you about rumors coming from one (and only one) of the districts. When you finish that district and ask her the same question, she'll tell you about another district. The order she tells you is Peninsula, Beggars, Blacklake, then Docks. This is in the general order of ease, though certain characters (like clerics in the Beggar's Nest) have it easier than others. In other words, when all else fails, follow the order Aribeth gives you. That is definitely not set in stone, since you can do the districts in any order you like. But you'll find it easier to do them in the order given most times.

Also, a henchman really helps in Chapter 1 (and are not too bad in the other chapters, either). You probably don't want to pick up Daelan (the barbarian) or Grimgnaw (the monk), since they overlap your abilities too much. However, any of the others are great to back you up.