If you were to upgrade one component first, a graphics card would make the most difference to gaming performance. The GT 730 is quite low-end compared to current hardware, and only performs around the level of Intel's current integrated graphics. A GTX 1050 would offer several times the performance, and a Radeon RX 570 would be notably faster still (about on par with a 1060 3GB).
Your CPU is also kind of low-end by current standards, but is arguably capable of running most modern games, and isn't too far behind current entry level quad-cores like a Ryzen 2200G at stock clocks. 4GB of RAM would be a limitation though, as a lot of games want at least 8GB at this point.
I had a bad experience 3y ago with ADM, super heat.
That doesn't mean that will happen again right? I'll take a look on ADM here too, thanks
For some years there, AMD's CPUs were kind of inefficient and required more power to achieve a given level of performance, resulting in them being harder to cool. This isn't the case for AMD's newer Ryzen processors though, which are on par with Intel's in terms of efficiency.
As for their graphics cards, they are are currently somewhat less efficient than Nvidia's though, which might be worth keeping in mind in a warm climate. Even so, a card like an RX 570 shouldn't be too bad in terms of power draw. It does draw around twice as much power under load as a GTX 1050, but it also provides around 75% more performance when not limited by CPU performance. Compared to the similar-performing 1060 3GB, it only draws around a third more power, which arguably isn't too bad.
AMD will have new cards coming out some months from now that will be built on a new manufacturing process that should be more efficient though. Nividia is currently in the process of releasing a new generation of cards themselves, and there will soon be a GTX 1650 out, which should be the successor to the 1050/1050 Ti, though I don't know how pricing will compare in your region.