Levels don't do *that* much for your overall combat strength. Sure, the skill nodes with extra attributes are nice and the different skills give you some useful versatility, but from what I've seen most of the power comes from higher attributes (training yard or upgraded coach) and items. Especially items like the crown of strength or intelligence are extremely helpful at the beginning.
One of the most important things to remember is that you can retreat anytime, even in the middle of combat (as long as it's your turn). And there's not even much of a drawback to it, you keep your entire inventory. The only thing you miss out on is the dungeon completion bonus, and that the goals for conquering a dungeon are not fulfilled.
Also, rescue missions get easier each day, with the drawback that the character gets one more cursed item - annoying when they get enough items to receive the cursed class, since returning them to their base class requires you to level them up first. If I have a novice adventurer, I just immediately abandon them (or leave them until they're fully cursed if I still need the cursed class in my town), as the time investment is usually not worth it.
Here once again it's important to note that you can flee anytime, so you can just enter the dungeon, try to find your kidnapped adventurer and just immediately retreat once you freed her.