This game is massive, and the way it works, I think you may find it difficult not to do side quests in the process of working through the 'main plot', of which there are probably several that qualify as major themes.
My suggestion would be to do a mix. The reason I say that is that levelling up will take a while, depending on how you play, but many of the side quests earn you followers, rewards, good gear, etc. There are certain things that you won't get access to in the game if you don't do certain quests or quest streams.
The other aspect is that it is worthwhile to visit the towns and cities early in the game...that will give you an idea of the layout of the place, and give you a look at what's available.