So I am new... and have a question. Can I keep Lydia in the house I'll eventually get in Whiterun, and get Mjoll as well?
If you tell Lydia "it's time to part ways", she will go back to take care of your house in Whiterun on her own. You do not need to walk her back. Then go get Mjoll. If you want to switch back and forth, you can, but you will need to find Mjoll in Riften when you want her back. She is usually in Aerin's house, or at the Bee and Barb.
