Nephenee build

I have a +def -res Neph and use her with the same build, that you listed here, but with Bonfire instead of Moonbow. It works well, but she sometimes has trouble doing follow-up attacks against common units (but she doesn't get doubled as well), which is why I use bonfire, which she can trigger on enemy phase once wrath is up, because it one-shots everyone.

A spd or def refine work nicely as well, because it doesn't commit you to pure enemy phase, and moonbow will work better in that case as well, because you'll be able to spam it once wrath triggers.

I just got a Free Neph myself, mine is +Def HP-. I didnt think about giving her Brazen Atk/Def, so thank you for the idea :D It seems to work really well with Wrath. But now i have to think hard if I want to give my next refinement and the Brazen to Neph or Alfonse, which was what I was planning to.....hmmmm but probably Neph.

I personally think the +Eff refinement is the best option. Sure, you get less HP, but less HP means easier to get down to Brazen/Wrath range and you pretty much got the 4 Def anyways and 4 extra speed on top.
Regarding the special it's kinda difficult to say. Bonfire does more damage, but having your 1cd with Wrath means a mighty first hit when you get attacked, and Neph is kinda built for baiting. If you do go for that strategy, you can consider Threaten skills in der C slot, as armors have 1 movement they are easy to get into range.

It's a very good build for her. Avoid Fury as she can take repeated its and not be doubled so Fury is just a net loss in health. Her effect, defense or speed refinement are good for her, if you want her to be mainly enemy phase then go effect but Spd is good for player as it helps her double more and helps her bulk by avoiding doubles. Bonfire's worth considering as a Wrath boosted bonfire is very deadly.