Walaikum assalaam alaykum wa rahmatullahi wa barakaatuh.
Those are really great questions. So here are my recommendations:
Where muslims can work in non-muslim countries?
Brother, make sure you work in a legit company. A company making haram products is bad... A company seeking interest from bank is also bad. My suggestion is work in a simple trade, meet your daily need and that is alright!
Be an educator if you want!
What would be a good place to make hijra to? What it's like to live there etc.
Always the answer will be Saudi Arabia, the land of the Prophet Muhammad (pbuh) but read this:
http://www.saudilife.net/life-and-society/115-muslim-world/29735-there-s-no-hijrah-to-saudi It all depends upon your adaptability... You can go for Oman as well:
http://myhijrahforallah.blogspot.com/2009/05/oman-good-land-to-make-hijrah-to.html
Would it be good to set some goals in life concerning worldly life, dunya?
Ofcourse why not? You have to do something in order to live. But remember Akhirah is the main priority. Recall this ayah all the time to remember your purpose in life: "
And I did not create the jinn and mankind except to worship Me." (51:56) but don't set goals in order to compete with people, just focus in your own achievement rather than competing with others. Obviously you should aim for the best but don't make it too rash. Like Hazrat Omar Ibn Al Khattab (rah.) used to compete with Hazrat Abu Bakr (rah.) so this Hadith proves you can set goals and compete with people. But I like you to look at this Quran ayahs:
Competition in [worldly] increase diverts you, Until you visit the graveyards. (102:1-2) This certainly proves that you cannot indulge in too much worldly competition otherwise you will be too much obsessed with it. There are great people out there who won many stuffs in life but never even thought of turning towards Islam because they loved to achieve this worldly achievements. This ayah is important: "
And the Hereafter is better for you than the first [life]." (93:4) Hope you got the answer and Allah knows best!