What do you want to use it for? I think that is the most important question. I think that for speed sensitive dos games 33Mhz is better. In windows you could get advantage from faster cpu and more ram even though before win95 4Mb was good enough for most things even though 8Mb would not hurt. There are some games that would get advantage from upgrading cpu and ram. Doom would run much better with 66Mhz and quake needs 8Mb ram. Like I said a good idea to choose what you want to use the computer for and then it is easier to know what to upgrade.

I have a 486 motherboard that only supports 5V cpus. I had a choice to put 33Mhz or 80Mhz 5V cpu there. I chose 33Mhz because of wanting more of a pure dos pc with compatibility when it comes to speed sensitive games.

486dx2-66 or higher (with turbo off, and L1 disabled you can still get absurdly low speeds if needed)
For RAM, 8MB would be a minimum. Especially if you want Windows installed.
For the Hard-drive I will use a 540mb.
CD-ROM of 4x or 8x should be fine. Anything higher and it'll be noisy and annoying.
SB16 or lower. In fact, an SBPro or compatible would be better.
DOS 7 as it has better memory management and supports larger disks.

There are speed sensitive games that even turbo off, L1 and L2 disabled my 33Mhz cpu wasn't slow enough and often it is about getting correct speed and not just slow enough speed. Trying to fine tune the speed not to be too fast but not to be too slow either becomes harder the faster the cpu is. 33Mhz was the perfect speed for my purposes that is why I think it is just important to decide what you want to do with the pc first. If it is the only pc you are going to have and you want to play newer dos games like doom, quake and such, then definitely you would want to make it fastest 486 that you can make it.

What advantages do I have for using a 486dx-66 over a 33mhz CPU ?
I am just going to use DOS and Win 3.11
Will Games play better on the 66mhz CPU ?

It all depends on which games you want to play. If you want to play older dos games or newer dos games.

If you stick with ISA the 33 is good enough. The bus will be the bottleneck. If you go for a VLB board, I would go with the DX/2 66.