i follow the guy to riverwood and then do the main quest up to the point where i must find esbern because that is where dragons appear semi-often but not enough to get on my nerves or be repetitive like after finishing the main quest
I follow Hadvar down so I can get free stuff from Uncle Alvor: Lots of free ingots, enough to make heavy armor instead of having to loot an enemy faction's armor off. Not being able to kill Captain RedQueen is a fair price to pay for free respawning steel/iron ingots at Uncle Ralof's smithy.