If you have money to throw around, then buying CECHA model, modded with 40nm RSX and replaced tokins by competent modder/reseller would be the ultimate option.
If you want to collect trophies, connnect to PSN etc. then updating to the latest Evilnat, once available is the "safest" option. Running CFW always has its risks, so if you have invested in digital PS4/PS5 games and other content you should keep that in mind. Some games when played over the network are quite competent on sniffing out cheats and CFW use.
Do I need DEX? If you are even asking, then the answer is no.
Personally I use local only account for all the "gray area" things and then do the gaming on the main account after disabling CFW. Not the most elegant option, but rather be safe than sorry.
As the jailbreak itself, short and sweet instructions for the literate can be found
here.
//EDIT In any case, Nat's CFW's are the best option these days due continued development, support and features. Rebug etc. are more or less relics of the past.