I usually play with several characters when I play games like this. One for stealth/theft, one for magic, one soldier etc. And in my opinion this game is made for one character. You have to put your character on a save file, wich you can accidently overwrite if you dont look close enough.
Wouldnt it be cool to see your characters in full size when you start the game, and choose who you want to play with?
I realize you can do this with the savefiles as well, but it just feels so tricky