General

• Grab all the skills you can, they are just free bonuses. Awakening 3 is the most important of all, since it transforms your Musou in a nuclear weapon, thanks to the Devil type.
• The best mount is Moon Child. It is not scared by officers (like other legendary horses) and you can't be unhorsed.
• EXP above level 50 is superfluous.

Advanced

• On Easy Mode, I recommend not to ride down your horse, since it takes some time, and you can often kill the enemy officers quickly with a few hits. Musou will be useful for final officers, and bosses in the later missions. On higher difficulties, you can use Musou against every officer basically. Thus focus on loading your bar with base soldiers.
• Try to learn the trigger order for the missions you want to do. They generally work as follows : "Beating an officer gives access to the next officer. Repeat until the final one". Of course, there are some variations, and sometimes they are not that obvious (meaning not indicated by a mission). I won't make a list of these orders for every mission, sorry ^^
• Skip the dialogues using pause. They will be reduced to a minimum duration, thus it is only useful for long dialogues. You will have to wait at the very end of the missions, because you can't pause anymore. This technique allows to gain substantial time in every mission, since the characters are very talkative :-)
• Be careful of boss cut-scenes. They can break a combo if you're not careful.
• Avoid weapon drops, because they will appear in the results screen (for a minor time loss though)
• Avoid reaching 100 KOs, because it triggers a dialogue from your character