I avoid loops because I'm not that great at them. If you can't for sure hit 3 or 4 in a row on most of your attempts, then I don't think it's worth it. (And agree with the above that maybe you should only do it when revive is lit, if at all).
If it starts on Icarus, a mode I never score well on, I like to start with the standard skill shot (or a soft plunge) and then go for the left spinner to change modes and work towards Revive. If you've still got a ball save, hit the captive ball. My scores have improved the more I focus on Mummy, as captive ball hits don't seem as dangerous as you'd think (and you can sometimes get multiple hits in a row if done really early with the upper flipper)...and Mummy MB can last a long time if you get your add-a-balls.
Aside from that, lots of Eddie letters up the middle, and holding the upper flipper to get drops on the way back down...assuming the return off them is safe. Stack modes and multiballs when you can, but there are lots of situations where you can't because the mode itself is a multiball.
Know the add-a-ball rules for each multiball, they're all different.
In most games, your object is just to start a mode and then pick up the shots accidentally as you do other stuff. Not so in Iron Maiden. Scoring seems to get better the deeper you get into modes (and multiballs). So don't just start them - play them well.
If I have the first tomb award (15m), I'll try not to collect it until I have 2x running, especially since you're likely to light it on ball one or two, and it stays lit...so you can delay collecting it until it's worth more.
Also be aware of power jackpots once you've been playing for a few minutes. You can end up in a situation where hitting a few extra shots to complete other objectives in the power pyramid will really post your jackpot. Playfield X is a big factor in that as well.