One thing I've done is ignore Helgen. Sprint your way through Helgen, and then sprint to a different location - the location where your characters starts. I, for example, started a character in Dawnstar. He started with nothing but some clothing and a few gold pieces, and lasted for at least a hundred hours.
And I'd advise against planning what a character will do in terms of quests and such - it sort of defeats the purpose of roleplaying, to me. Just start your character, get into his or her mindset, and see what he or she does.
Oh, and if you're looking for builds, I'd strongly suggest mage, archer or dual-dagger-wielding-thief
