Stats:
I decided from the start I would put some stat points in Strength, in order to open up more armor choices early and hopefully find better defense pieces with high Reflect Range Damage. This worked out very well, my Vanq wears 2 pieces for 100%, even though she has left over pieces that total over 100% currently worn.
I decided to return to having a high Defense, although I often go back to pure dex since it seems Defense and HP bonuses just do not matter on a Vanq in VHHC. They end up dying on me even when I try pumping Def and HP.
Her base stats at clvl 30 are STR: 20 DEX: 68 MAG: 7 DEF: 80
At this point I am only distributing points to Defense as she levels. Her skill allocations so far are:
Marksman - Ranged Weapon Expertise 7, Critical Strikes 10, Adventurer 4, Explosive Shot 9
Rogue - Armor Expertise 5, Defensive Spell Mastery 10
Arbiter - Flechette Trap 1
Spells: 2 levels of Zombies, Haste, Elemental Protection
Pet Spells: Frost, Fireball (Probably gonna go with Summon Zombie 6 when I get it)
How I played:
I levelled to 3 in SV on the first floor, then I went and ran the quest until I got Brink. I went back to SV and levelled up to 13, but it got hairy at 12 and I probably should have left at 12. I levelled to 17 doing the quest line and then began doing the store bought maps. I recommend using the most expensive of the 1-10 maps since, in my experience, I always got the catacombs with mobs set to mlvl 9. I recommend levelling up to 25-27 off these, then switching to the cheaper 1-10 maps which most often end up generating the sunken ruins map with mobs mlvl 17. I ran these until the character was 30. Be sure to keep buying maps and keeping them in stock as eventually the shop merchant will stop selling you the 1-10 maps.
I plan to run the 10-20 lvl maps until 35 or so, then run the 12-25 maps til 40. Also between 30 and 35 I plan to do the quest line until it becomes difficult OR I hit the black palace maps. At that time I switch to the store maps til 39 or 40.
Why run the store maps? Well, in my experience I had a really hard time with Ordrak in Hard Difficulty at clvl 35 with an Alch. When I get to Ordrak I don't want to fail....due to the way in which you level slower in Very Hard you end up underlevelling the quest line, and since VH already has mobs scaled to be harder than the other difficulties, this just pinches you until you implode. Levelling up outside the quest line is the best way to stay somewhat in line with the quest difficulty.
Gear:
Reflect Range Damage
> Defense
<> HP
> Fast Cast
> Knockback
I use Pistol+Shield with whatever the best mods I can find, of course. My pistol has crappy mods

The toughest time is clvl 7-15. Once you get 15, it's a lot easier as your stats begin to allow you to get better gear and you get exploding shot and can start working on your basic skill build. For me I started by dumping the first 2 points in Ranged Weapon Mastery, then working through the others. I prioritize getting Adventurer to 3, Defensive Spell Master to 3 (by the time I can use Haste 3) then 5 then max, Critical Strikes to 5 then max by 30, Armor Expertise to 3 then 5 by around 27, eventually maxed prior to 40, I tossed 1 in to Explosive Shot and Fletchette Trap at clvl 15 and I didnt touch Explosive Shot again until around clvl 25.
Currently I am working up Explosive Shot and Ranged Weapon Mastery until maxed, then adding 1 point to Adventurer and finishing off Armor Expertise. Then I will work on Block and Parry until maxed, and if I still play her beyond 40 I will max Fletchette and then Adventurer.