Start on "Hero".

It's better to build a few levels of the guild sooner rather than later, because sometimes people try to build all the units at once, and then only the guilds. You can do that with some races, but with Mages, it's better to focus on magic, as their army isn't very impressive at the beginning. Unless you have Mages and Rakshasas.
But in Heroes, a lot depends on random chance, and you can't avoid it. In the last few games, I didn't lose almost any units to neutrals when playing as Dungeon and Inferno, I was relatively lucky with them.