My method is similar to the "Focus on one digit per time" ones, but with a few added tricks. The important thing here is that the you can receive 2 hints per guess: How many digits you guessed correctly, and if the number is higher or lower than what you guessed. With those information, you can skip a few steps when guessing.
My method goes like this (complicated explanation version, example comes later):
Start with 20000 (30000 also works). Your focus is to figure if the first digit is 1 (dealer will say it's lower), 2 or 3 (dealer will say it's higher, it seems that numbers can only go up to 33000 and something).
If it says higher and warp you to a room, guess 30000 next to confirm if the first digit is 2 (lower) or 3 (higher).
Now guess 5 for the 2nd digit (15000, 25000 or 350000).
If the number of digits that you got right increased, then you already found the 2nd digit.
If it didn't, then check if the number is higher or lower than your guess.
If it's higher, guess 7 (17000 or 27000). If it's lower, guess 3 (13000, 23000 or 33000). Now comes the important part. There's a chance you already have 2nd digit here (even without increasing the number of correct digits). Here's how:
For example, if you guessed 7 and dealer said it's lower, then you know the 2nd digit is 6 (example: 25000 -> dealer says higher -> 27000 -> dealer says lower). This works because you now know the number is between 25000 and 27000, so the 2nd digit can only be 5 or 6. But since you didn't get the 5 in 25000 as a correct digit, then it can only be 6.
If you guessed 7 and dealer said higher again, then you check if you moved a room up.
If you moved a room up, then the 2nd digit is 7.
If you didn't move a room up, then the 2nd digit can't be 7, so guess 9 (19000 or 29000). At this point, the only alternative are dealer saying the number is lower (then digit is 8) or higher and moving you up a room (then digit is 9).
Now repeat this process for the other digits.
Sounds complicated, right? I think I would have trouble understanding my own explanation too. So let's try an example:
I first guess 20000. Dealer says it's higher and I'm warped to room 1.
I guess 30000. Dealer says it's lower and I'm not warped. Number is 2XXXXX.
I guess 25000. Dealer says it's higher and I'm warped to room 1.
I guess 27000. Dealer says it's lower and I'm warped to room 1. Number is 26XXX (between 25000 and 27000, but 2nd digit can't be 5 since I was still on room 1 on the previous step).
I don't need to guess 26000 since I have confirmed the 2nd digit already. So I guess 26500. Dealer says it's lower and warps me to room 2. Number is 26XXX (below 26500 and above 26100, since I know the 3rd digit can't be 0 since it was never pointed as correct before).
I guess 26300. Dealer again says it's lower and warps me to room 2. So Number is between 26100 and 26299.
I guess 26100 (I could guess 26200 too, but guessing 26100 is useful if you know there's a 0 somewhere). Dealer says it's higher and warps me to room 3. Number is 261XX (since I was warped to room 3 instead of 2).
I guess 26150. Dealer says it's lower and warps me to room 3.
I guess 26130. Dealer says it's lower and warps me to room 3.
I guess 26100. Dealer says it's higher and warps me to room 3. Number is 2612X (I know it's between 26100 and 26130, but since I'm still on Room 3, then the 4th digit can't be 1).
Again, I don't need to guess 26120. So I guess 26125. Dealer says it's higher and warps me to room 4.
I then guess 26127 and 26129 and pay attention to dealer saying if it's higher or lower. If dealer says higher than 26127 and lower than 26129, then it can only be 26128.
So, in short:
Guess one digit per time.
When you first try to guess a digit, go for 5 (exception: First digit, which can only be 1, 2 or 3).
If you didn't get the digit correctly, increase or decrease by 2. This way you can make good use of both hints that dealer gives (number of digits correct and higher/lower).
Save some time by skipping needless confirmations (once you figure a digit, guess 5 for the next digit, as explained in step 2).