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How to own World of Dragons, the easy way:

Credit: 1WolfsGlory

There is Soul bound enchants that prevent items (even non tools and armor) from dropping from your inventory (like a backpack). To make mining easier, I suggest getting a top tier pick, which guess what, you don't even need to mine to do. The dragon bone pickaxe is of the same quality as the diamond pickaxe, and you don't even NEED to go underground to get it. Just need to find a dragon skeleton in either a frozen biome (Ice dragon) or hot biome (desert/mesa, Fire dragon) and then visit the nether for the Wither Skeleton Bones. If you have ever watched minecraft speedruns, then you will know you don't need a diamond pickaxe to reach the nether. The only better picks I've found are the dragon steel, which does require you to kill a dragon, sadly. There is also the joy of exploring some of the mods which might add in automated mining.

As for gear, like Kreezxil says, the best gear I have found is customized gear. Mine and Slash adds a whole slew of features you have to consider when customizing your gear. Are you going to be a tank, archer, magician, healer? I highly recommend selecting one (and if you choose magician (probably the best choice), I would further recommend refining your specialty to one type of magic). 95% of the gear in WOD is M&S Compatible, meaning it receives M&S stats. These stats can be customized with pieces of loot from killing mobs in a Gear Modify Station. Your crafted gear can be a good way to get stuff to your level, however, it is a complete roll of the dice, just like loot drops. Plus, much of the gear cannot be crafted (like the spells, runes, and modifiers).

So like you said, this is a game where you are free to do what you want. That is the joy of being human, no one can tell us what to do, only make suggestions. Another suggestion, which isn't always possible, is having a team. This can help tremendously because some of those dragons are a pita when they are Epic or higher with 2+ million hit points and your measly little thunderbolt only does 1000 hitpoints of damage.

See Also: Recommended Additions