Hey, I used to play this game a lot back in the day: owned the strategy guide, and recently replayed it in DosBox. Some helpful tips for beginners or those new to the game:
1) Poke everything. Many barrels/moss/etc. can be hit once or twice, and each hit adds to your weapon skill.
2) The earliest place to "power level" is actually very early in the game, on the first large area (after finding the stairs leading down), there is a forge (basically a stone disc-looking thing, with a lever behind it to start the fire. If you attack the forge while it is lit, you will gain weapon experience (even with fists). So if you're so inclined, you can max out all your weapon skills here (save for magic, shield, and missile).
3) To max out shield, the best technique is to get at least the leather shirt, leather leggings, and wooden shield. However, it will be a lot faster if you also get the first helmet, and/or the metal shield. Once you acquire these items, head back upstairs to "Drake's room", there's a pipe in the back that will produce *many* ants. Let them attack you while you have your shield/s equipped. It will take a little while, but this is the safest place to improve shield skill. If you never hear shield hitting sounds, then your agility is too high to gain shield here, sorry.
4) Maxing out magic is very easy, after getting your first wand, just cast fireballs off in the distance while walking repeatedly over the mana circle to recharge.
5) This just leaves missile skill as the hardest skill to level. In being the hardest, if you're a Perfectionist-player, I recommend throwing rocks/arrows/daggers/etc. at all the barrels/moss/etc., otherwise you'll be deep into the game before getting it close to maxed out. Likewise, if you need more missile skills, then be sure to use missile attacks on the dwarf stone that is in the dwarven fortress (the first couple hits will give levels to weapon skills immediately).
Honestly, this exploitation makes the game unnecessarily easy, but, if it's your style to be really powerful, go for it. I think getting the dagger of penetration at the beginning is even more of an exploit for the vast majority of the game, so unless you're just dying ALL the time, or you're just not good at this kind of game, I recommend skipping the very sharp dagger.