Make a character whose major skills are those you actually plan to use, and use those skills. Don't use trainers or work on "useless" skills to improve level-up multipliers. Train your major skills up instead. The result will be an "imbalanced" character that requires more effort to play, instead of the generic good-for-everything character that you get with efficient leveling. The game is
meant to have a "leveling problem." It's
supposed to get harder as you go up.
Don't have your character go out and "find" some powerful artifact, or some obscure quest item, that you know exists, but that your character, fresh out of prison, would have no way of knowing about.
In other words, Roleplay.