There is no set order to play this. Personally, I completed a sequence, and then did all the side missions that appeared on the map. The side missions add back story and in my opinion, doing it this way allows a more in-depth experience. However, the choice is yours. The walkthrough is laid out in a manner which makes it easy to follow all the way through, or just pick and choose the information that you need.
There are a few things that might come in handy to know beforehand.
Pick up collectibles as you pass. It saves time. You may want to head to the collectible page of this walkthrough and open up the interactive map.
There aren't that many items at your disposal, so make sure to use each and every one as much as you can.
The fastest and safest way to get money is to do trading with your ships, so make sure to never leave them idle for too long.
Each persona comes with a certain set of weapons, items, and movements. The lady is not able to climb up buildings, the slave is not meant to kill too many enemies. Make sure to reduce your infamy whenever you can, do this by ripping down posters with a different persona.
Make sure to use high ground to your advantage.
Work on the following achievements ASAP:
You will be taught in-game on how to use a human shield. Look out for the yellow triangle above a musketeer's head when a firing squad lines up.
Thief can be done slowly as you progress through the game. Pickpocket as you run etc. You also have the option of wearing the assassin outfit, and getting your wanted level up to maximum by killing guards. Escape, then bribe a magistrate. Pickpocket him to get your money back. Repeat a further 4 times.
You unlock the parasol gun mid game. Use it as much as possible during missions to unlock that one.
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