This is just my personal play style and there's obviously no such thing as a 'recommended' way to play. That said, this way is fun:

Level up sneaking.
Steal anything valuable.
Sell stolen goods.
Get rich quick.

These are my four points of advice on how to get a headstart in a TES game.

EDIT:

Two more in the three word format.

Murder for exp.
Don't get caught.