I pick armor by prioritizing helms with special effects then going with the max average physical defense. Keeping in mind weight load too. I usually try to go for 50%. Yeah, run from those soldiers if you can unless you can take them out in a nice 3-4 hits. They do a gross load of damage. Upgrading armor is a good idea, but be careful with it. You are more likely to switch armors than weapons, and because they use the same upgrade materials you could risk losing out on more damage.