I do it is my "Thane of Whiterun" set which is Steel Armour,Steel Cuffed Boots,Whiterun Guard Helm(ripped from a dragon!),and a Whiterun Cloak all renamed to "The Thane of Whiterun's X or Y"
I have my regular set of Heavy Imperial Armour with the Closed Helm for most quests and adventures, pretty much the entire game, although Wolf Armour for Companion Quests and quests related to becoming Thane of each hold, then a set of Light Imperial Armour with a Circlet instead of the Helm, for Crafting, Smithing and trading.
And then the Nightingale Armour for late night thievery around towns and settlements.