The most important thing to consider when choosing your five characters is that they form a well-rounded party whose skills complement each other so they work well as a team.
Each of the characters or Child's as they are known in the game is assigned one of the following roles: attacker, defender, healer, supporter, and debuffer. Basically, attackers have skills aimed towards dealing damage to enemies. Defenders have skills that raise defense for the team. Healers preside over the team’s hp through heal and regen. Supporters ensure that status ailments and debuffs are cleared off of each member. Ideally you want each character in your team representing one of these roles, if this is not possible have an attacker, a defender, and a healer as the basic components of your team and choose characters for the last two slots that have skills you feel will be the most beneficial.
The game uses the rock-paper-scissors system which means it is important that you consider the characters's elemental affinity as well as their role. Fire is strong against wood while weak against water; water is strong against fire and weak against wood; and wood is strong against water while weak against fire. Light and dark elements are neither strong nor weak against the first 3 elements but they are, in contrast, strong against each other.
Ideally you want characters that have a 5 star rarity but to begin with you will most likely only get 2-3 of these Childs, you will however get enough characters with a 4 star rarity to fill up the remaining slots for the time being. As you progress in the game you will obtain stronger characters so do not waste effort and resources on characters you will soon replace. Also make sure you choose a leader whose Leadership Skills have no element restrictions as Leadership Skills affect the entire party.