Without other saves, you cannot get out of a story mission to just play in the world. The only thing you can do is lower the difficulty setting to casual and hope that is enough.
If you are not in a story mission (these are selected at the war table and have a green rift over them), then you should be able to fast travel by selecting the world map from the pause menu (press Escape). Select the map from the menu, then in the top left there will be a button called world map. Then choose a new area to travel to.
To make more saves, go into the pause menu and select "Save game." In an RPG, you should usually keep about 10 saves going so you can backtrack if you have to.
For tactics, make sure your toughest fighter always approaches enemies first. They will focus on the first person they see. Try to focus everyone on killing one enemy at a time-use the tactical camera to give orders. You can often ignore the toughest enemy, just stay away from them if you can. Kill the smaller enemies first - they are easier to finish off, and less enemies attacking makes it easier to survive.
