I've never bothered reloading when things go wrong to be honest, not in Morrowind,Oblivion or Skyrim. I have a friend who reloads even if he breaks one or two lockpicks and i always think to my self what is the point?
One of the reasons i don't reload is that i believe it helps inspire me to make another playthrough after i am finally done with the first... if i choose 1 dialogue option this playthrough then i choose the other next playthrough... if i run out of lockpicks and fail to open certain chests in dungeons i may never go back to then i'll try again in my second playthrough etc.. same with companions, if they die i leave them dead. Watching a few lets plays i notice that a lot of people reload straight away if a companion is killed or they are caught stealing. That is fine its their game and they can do what they want. for me, i leave things as they happen which helps to ensure a different and just as exciting second,third and even fourth playthrough. Although normally by my third playthrough my game is heavily modded.
The only time i reload is if something buggy happens which basically forces me too.
It does feel cheap, but it is a single player game and i don't think there is a wrong way to play a TES game.
