I haven't done it yet, but I eventually will get around to it. And certainly not in my main save files.
I've got an old save file from the point when you're supposed to go outside Bruma and close the Great Gate when it appears.
My idea is to load that file and go to the Shivering Isles instead. Once I'm finally the new Mad God, I would return to Cyrodiil and store all my items somewhere.
All my items except for Sheogorath's regalia and Staff. Then I would do that quest, and in the next 24 hours the citizens of Bruma would erect... an statue of the new Mad God in all his glory!
The first Imperial settlement that indirectly worships a Daedric Prince.
Ah... old Sheo would be proud.