I've gotten about 3/4 of the way through the Oblivion MQ before, but quit because I was in a bad predicament (was a full-fledged Vampire, trapped in an Ayleid Ruin, and didn't know wtf to do). However I was Arena Champion on that character, and somewhat into the Fighter's Guild.

If I attempt to beat the game once more, do you think I should level first (like my previous character) or is the game easy enough to just jump right into it?

I don't want it ridiculously easy, but not groundbreakingly hard either.