What part are you on? Sounds like the very beginning.
To get more HP for the characters, there are tiny chests spread through in different areas of the game. These chests contain items that raise defense and raise max hp for max. As you complete requirements for the restoration of each town, these chests will appear in the future and elsewhere.
Have you fully explored the inital city yet? That's a good place to start.
Also make you are constantly upgrading your weapons. The game provides a pretty good tutorial for this. As each weapon levels up, stop and apply spheres based on their respective upgrade paths.
Oh, and in combat, use max's gun to lure out one monster at a time. Kill it and repeat. Make effective use of blocking and charged attacks.