Whatever your goals are. You don’t really have to do that. In PVP the main goal is competition with other players and the struggle that comes with it. If you are particularly goal oriented, gladiator might be a goal for you, if you want the mount, weapon mogs, enchant and tabard. But if you just want to PVP, you can do that with a full set of conquest.
Melee want weapons first with conquest. For casters, it doesn’t matter as much. Just prioritize whatever lets you hit around 30% verse in PVP and whatever your relevant secondary stat is, which for this season will either be mastery, or more likely haste. Keep in mind that gear values in PVE do not reflect what your stats will be in PVP when gear is scaled up. In PVE your stat sheet might say 20% verse but in PVP it will scale up to 30%.
There is a set in PVP. You get it in a different way, you either get pieces from your vault, or you convert conquest PVP gear at the tier catalyst. Keep in mind that these sets bonuses are nerfed by 50% in PVP. So if something says it gives you 30% more damage on an ability, it will be 15% in PVP.
You can do WPVP quests and hang out in Dragonflight zones with War Mode on, every 30 minutes or so a chest will drop and if your faction gets it you can loot 60 conquest from it, and there is no limit to the amount of times you can do this per day or week. This is usually done as filler between queues though, because it can involve a lot of waiting.
There are also weekly PVP quests given by Malicia. These are random, and can include gaining honor from Skirmishes, Arenas, Random BGs, Random Epic BGs, Rated BGs, and Solo Shuffle. There will also be a WPVP quest for a particular zone that week that awards 70 conquest.
Also make sure to win the brawl at least once a week, this grants you 110 conquest.
Otherwise, yes, the only way to get conquest is to do BGs and Arenas, with Arenas being the most efficient way to get Conquest.
Watch other players who are high rated and try to take note of the things they do. Watch videos from people who are experienced in the class you’re trying to play and take note of the talent builds and stats. In general, try to predict what your opponents will do. For example, you can be reasonably sure a warrior will charge on you on opener, and in solo shuffle and low rated games will likely use all his CDs to burst you down as soon as possible. So you can use gate when he charges to juke him, or use your defensive CDs to negate some of his incoming damage. A lot of PVP is about effectively trading CDs into each other.
Generally speaking you will get good advice and tips from more experienced players with the advice above. Watch guides from Warlocks who are experienced with their class and listen to their advice and study what they do.
But to provide some guidance, always keep Amp Curse+Weakness on a high damage class. This disables crits. Amp Curse+Weakness is more valuable on DPS casters than Curse of Tongues is. But you will want to keep Curse of Tongues up on healers as well. Macro Amp Curse+Curse of Weakness together. Use the command line: #showtooltip Amplify Curse - so that you will know when Amp Curse is up.
Also use a Soul Burn macro to your Health Stone, Demonic Gate, and Demonic Portal: Teleport abilities. Soul Burn provides bonus effects to these spells when you use it, but it has a short CD so be mindful of where the CD is.
Learn to fake cast. With Precog pretty much being baseline to embellishments for all casters, being hit with an interrupt when you are not casting will grant you 15% haste and immunity to CC for a short time. This is huge to setting up a burst chain. Try to fakecast a high value spell like Fear to bait an interrupt, but move before the interrupt is cast. This can be tricky and varies from person to person, and sometimes players will be expecting fakecasts and will be able to counter this. It will require practice and gamefeel to get it down.
That’s the general advice I can give. If you’re looking for specific advice, it is best to learn from those who are playing the spec you want to play at a high level.