I don’t think there’s really a “general consensus” as everyone’s circumstances are different. But in your situation KrisFlyer would be a good option as it would open up all the Star Alliance airlines for you. In Australia, the best way to build up a KrisFlyer balance is to accumulate AmEx Membership Rewards points and transfer them to KrisFlyer when required (but be aware that KrisFlyer miles expire after 3 years).
Velocity points are easier to accumulate, and they can be transferred into KrisFlyer – but they do so at a 1.55:1 transfer rate, so you’ll lose about 35% of your Velocity points in each transfer.
As a general rule, you accumulate Velocity points in the same way you accumulate Qantas points: through points-earning credit cards, FlyBuys (instead of Woolworths rewards), online shopping, maybe electricity and/or health insurance if the products are right for you, and so on.
So my strategy would be:
Get a Velocity-earning Mastercard or Visa with a good sign-up bonus.
Get a FlyBuys account and switch your grocery shopping to Coles.
As soon as you’re eligible again for an AmEx sign-up bonus, get an AmEx which is linked to Membership Rewards.
Look out for other points-earning opportunities when they arise.