Actually the first checkpoint of the game is the tower of giants since the last boss is the first thing that actually gives people trouble :V
Castle of Satan is the first major checkpoint though, especially since you unlock technicals after beating it.
If you're having trouble, it is definitely a good idea to level up your stuff, back when I was still using Tyrannos I spent like 3 days worth of stamina in Fire Forest Nerva grabbing level up monsters, you should do something similar if you're having trouble.
Also, assuming EU is anything like NA, their challenge dungeons should be up right now, at this point you can definitely handle level 1 and probably level 2, if you really want you can go for level 3, get their goodies and a free stone.