yup you can sure do it that way monox1de, saving the main quest for last if you want. the Arena really should be completed first. its super easy and you can level up a few times. then do fighter and mage guilds, they arent too hard either. the Dark brotherhood guild is SUPER fun and a bit difficult. id save Thieves guild for last as it can be pretty tricky. once you get done with those you should be able to fly through the main quest fairly easily.
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