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But for Nightmare in general you will want to rely more on Arts for damage as physical attacks will be very weak. Tio, Elie and Wazy are good arts casters, get them stuff like Magna Blaze and Spark Dyne, if the enemy is weak to it Death Spiral is decent. And if you don't mind having to use some EP charges then Hydro Cannon and Gaea Titanis are also about just as strong options.
Stack Evade on Lloyd and let him tank stuff and pull enemies away from your casters with Raging Spin.
Speed will be the most important stat when gearing up, prioritize it on armor and accessories and make sure everyone has the latest Action quartz, arts users will want Cast quartz and also a Bell for their spell of choice.
If you want things to not take forever to die and waste a lot of resources, you will want to double buff (blue arrow up) your casters ATS, and double debuff (blue arrow down) tough enemies' ADF whenever possible and, if they are not immune to it, debuff their SPD too. If you find the turns for it, you can try SPD buffing your casters, but debuffing the boss will be more important.
Lastly, learn when to Zero Field s-break with Tio when she is available to counter s-crafts or other strong attacks that can wipe (or nearly wipe) your party.
You can also change your initial positioning on the Tactics menu for an easier time manipulating enemies into going for Lloyd and keeping your casters safe.
Good luck!