Started a game with friends and frankly, after 2 3-hour sessions, I have about 0 idea what I'm supposed to do to progress. Created a few weapons, armors, that didn't feel they did a huge difference.
So what are the main things I should be working towards? (Spoiler free as possible)
What are the main steps that will build you up towards the ending if there is any?
Or is Don't starve together a game simply without a 'final objective' and it's just survive as long as you find it interesting?
As you are only talking about only building armors and weapons, it sounds to me like you have not yet build a science machine. This device requires wood, stone and gold to build. The latter of which you will get from mining gold vein bolders.
Standing next to a science machine will enable you to craft things you couldn't craft before, such as additonal tools, weapons and items you can place on the ground to make yourself a base such as chests, drying racks and farms. Note that crafting something for the first time will give you a sanity boost and teach you the recipe, so you can craft it anywhere. Also note that the character Wickerbottom already knows all the science machine recipes from the start.
Having build your science machine you can move towards creating additional structures that teach you crafting recipies, such as the Alchemy Engine, the Prestihatitator and the Shadow Manipulator, the latter two being for magical items.
If you start your game at autumn, which I would personally recommend and is how the original game functions without expansions, you will obviously have winter as the following season. In winter crops stop growing, rabbits stop leaving their dens and other restriction will make your life harder. This means your goal during autumn is to prepare yourself so you can survive the winter.
However making it through the winter not only depends on your survival skills, the cold season has one more challenge for you waiting at its tail end: a boss fight to test your mettle. As you want to avoid spoilers I am not going to tell you much more about that boss, you can click this link to the wiki if you want to learn more. Just know that it will appear on the last few days of winter and that you will need good armors and weapons to make it through. You will also need items to replenish not only your hunger and your health, but also your sanity, as the boss drains it really quickly.
You are correct in thinking that the goal of Don't Starve (Together or not) is to have fun surviving as long as possible. The game designers have however added some optional bosses, you can seek out to fight. As you don't want any spoilers I am not going to talk about it in great detail and I also haven't fought any of them myself, so I don't know that much aswell, I can however point you in the right direction:
There are sinkholes scattered troughout the map. Destroying their boulders with a pickaxe will open them up. You can then enter those, finding vast underground dungeons called the caves, which may or may not include one or more optional bosses. If you and your friends want to work towards a final object, this is your goal, but it will take a lot of time mastering the game to get this far. Also note, that you should only destroy the boulders as soon as you feel ready to enter the caves, as destroyng them will enable them to spawn additional monsters in the overworld.
