Where should I Build my Base?

You can build your base anywhere, you just need to choose a spot. Wherever it is you decide to make your base make sure it is near a portal so it is easy to port back and forth from worlds.

A good place to consider would be either the fifth or sixth world/level as there are a few dungeons with stones and other useful materials to work with. Occassionally in these levels there will be a dungeon with a ground floor that has no monsters. If you find one look for a pre-built building near the portal and wall up the entrances and put a door on it you will have a secure location. Also, if possible build a ramp from the portal to the door. When you reach a higher level (level 6) monsters won't be able to bother you, especially if they don't spawn near the entrance.