You can't pick up burdens while leaving, only while going deeper, so if you want more burdens you should keep searching. Once you have all the burdens, the only thing about the floors that matters is the type of challenges, so pick whatever's easiest (or, if you'd like, a stat you want to train).

"What does 20 in and 20 out mean? It says to dip when they're 40?"

It means when the sum of Coiling and Mapping is 40. So, if you're not picking up burdens, that's when you have Coiling 20 and Mapping 20. If you get all four burdens, that's at Coiling 18 and Mapping 22. Because to get out, you have to reduce Coiling back to 0, and going from 18 to 0 will also give you another 18 Mapping, giving you 40 when you leave.