Excellent! This is also how I play. See below for an immersive experience.

Check out this:
http://www.gamesas.com/topic/1352537-guide-to-no-munchkin-game-play-for-best-immersion-in-skyrim/page__fromsearch__1
and this:
http://www.gamesas.com/topic/1351151-immersion-is-amazing-in-skyrim-a-dwemer-scholars-perspective/page__fromsearch__1

Also I'd hire a follower, not one you get for free but actually pay for a bit of protection. I'd go for the opposite of the character you are, so if you're combat based hire a Mage and visa-vers . There's a Mage in Riften you can hire.

Imperials are adept merchant type characters (deals with finding, selling and collecting artifacts etc.), so I'd probably go with that if I were to go through that playstyle you described.