Some general advice:
Upgrade your sword asap as knights at first take way too long to kill. I mean there's nothing else you can upgrade at first but the first few upgrades make a huge difference especially early on.
Kill the fat merchant looking dudes, they always drop money and usually way more than every one else, sometimes they carry chests which you can attack for more money or an item.
You can unlock other gates, one in the north comes first(after the first boss), then south, then west, you'll know them by their glowing shield and two knights stationed in front of them. Approach the knights and kill them both to unlock the gate, now you can return here with any captured girls instead of walking all the way back to the east.
You can only gain one level at a time in regular mode. Say you get 300 exp and you need 150 to level, when you return to base you level once but the excess exp doesn't carry over to the next level. Genocide mode (which is unlocked after you beat the "final" boss) allows exp to carry over but you can't capture girls then. This is a mode that can be switched on or off without loss of progress. Captures give a big exp bonus.
When hauling a girl back to base stay at the top of the screen(or bottom if you're using the south exit), it makes it MUCH easier to avoid the rocks that the civilians throw.
Learn to use the dash attack, it knocks every non-boss enemy down and can be a god send when you're surrounded.
Money is pretty hard to come by, after a certain point you unlock the castle in the center of town that always spawns knights which is the best way to make money but by that point you've pretty much beaten the game. Before then I've found the best way is to get your danger level to max and constantly run to the left side of an area to the right picking off all merchants and knights that you come across.
I want to say there are 31(?) girls to capture but it's been a while since I played, there's a picture I saw on 4chan that had a list and location of all the girls but I can't find it now.