I feel that world-hopping isn't just 'not cheating', but genuinely encouraged. Things like the extreme rarity of pyramids make me feel this way. It's true: there's no 'wrong way' to play the game. The player makes their own experience. For my playthroughs, I usually follow these rules: Any number of worlds may be played, but characters may only visit worlds made after that character is made, and must always stick to either Expert or normal worlds. My girlfriend does something different, keeping a small set of 'farm worlds' which she allows herself access to after certain points in progression. Overall, if something IS considered an exploit by developers, they've always been quick to patch it. So, if you can do something and you want to, do it.
If you want a suggestion while you're still learning the game, though, I'd recommend this: Make a world with a purple evil area (corruption) and a red evil area (crimson), and just go to those two until you know the game well enough to be able to judge for yourself what is a good enough challenge for you.