with Cold Drain Essence Reaper I like to move to Forgotten Gods (the last act) just after the 1 Act (after killing Krieg) so that I can get these sweet shoulders and belt that convert Vitality damage to Cold.
but normally you just follow acts in order / do mandatory quests
In 1.2 some important quests can be skipped on Normal and Elite (Elite can be skipped altogether) and only done in Ultimate now because of the following change:
if having troubles with particular quests / not knowing what to do, I recommend Grim Dawn Discord
for general info on the game, https://www.youtube.com/@rektbyprotoss/featured is also useful