Well first off im new to the forum, seems like a good one! I am also new to Skyrim...I played Oblivion a lot! I Am making your classic thief/archer wood elf.

My question is, is it worth to stick to the main story line for a while? Or should I jump right into the thieves guild, the DB, get all the perks and level up. I am playing on Master difficulty. Any advice would be great

I normally stick to the main story line until I reach the point where it is suggested you go to meet the Greybeards who have summoned you. After that you can join factions or just explore a bit, High Hrothgar will wait until you feel like going up there.

It's open world, do what you want.

First off http://images.uesp.net/c/c4/Fishystick.jpg

As for your question, weather or not you follow the main quest line is really up to weather or not you want dragons. Personally I don't follow the MQ until my sneaky builds are about lv.30(ish). This way your smithing should be good enough for you to improve your gear enough to face a dragon, that is unless you want dragons to spawn. Tis really up to you, do you want to gain more power before you face dragons and Alduin or do you think you can handle it without the aid of the power gained from the other DLCs. And believe me you do gain some interesting things from the other DLCs that will be most useful when completing Skyrims MQ. I can't go into too much detail without making this a spoilers thread BUT trust me when I say that it's worth it to hold off starting the MQ until you finish one or both DLCs, the benefits you gain come in handy

Thanks guys I kind of figured most people didn't follow the main story line...as I didn't in oblivion, but its been forever since I played that. Didn't know if something changed in Skyrim...But as far as Blacksmithing/Leather works and all that can I make my own armor with stats on it? Or whats that all about.

You can craft your own gear and enchant it, it just depends on your skill in smithing and enchanting

I get distracted from the main quest pretty easily......but it's always been that way for me in these open world games. I do like learning at least a couple shouts usually before I start other quest chains

I've heard a lot of people dont

If you want no dragons at all then I think you pretty much ignore everything after Helgen, or maybe you accept the dragonstone quest but you dont actually get the stone. What i do is i complete everything until Kynsgrove...after that i ignore the rest of the main quest. This unlocks dragons for me which i like because it adds some random elements (ie town attacks) and gives me stuff to kill. I also like the shout effects...i'll Fus Ro Dah a weak mob just to be able to hear the shout/crackle/thunder sound. There are also other shouts that have pretty good utility like elemental fury which speeds up your attack swings if you are melee (not sure what it does for casters or bows though).

If I were a "Thief/Archer", I wouldn't do the MQ for a while. That kind of playstyle at early levels takes a huge beating by Dragons. It's almost hilarious how squishy you are against one. However, those characters have the potential to be one of the more deadly builds once you're a high level.