This is an idea I had and I was wondering if anyone has ever done this.

You'd make a character and play him or her however you want like you usually would until you get to a significant choice. I'll use Dawnguard as an example. When you get to the point where you must take Serana to Harkon, make a new save when you enter Volkihar castle. Talk to Harkon and reject him. After he banishes you make another new save and then reload the first one. This time accept Harkon's offer and save over the first save. From here your character's story splits. You can play the same character, but explore two different outcomes to their story. You could also do this with the civil war.

That's kind of the purpose behind saved games: allowing you to go back and make a different decision (besides when you *have* to because of a bug, I mean). However ..... if you do this, even if only on major decision points, you will end up with WAY too many branches on the tree.An alternate way (on PC at least) is to make a new folder (and name it something like Libraries\Documents\My Games\Skyrim\saves.harkon.yes) and copy the saved game from just before making the decision into that folder (instead of all the saves) and then you can come back to that point and try the other path (by juggling the renamed folders).

As thinzad said. If you do that for all the major decisions you'll have tons of saves; there will be too many and you won't remember them all. If you wanted to do something like that then I'd suggest only doing that for the Main Quest of the dlc and Vanilla Skyrim (and only for the MAJOR decisions). It'd be easier to keep track of and a lot less confusing/messy.

I would rather just create a new character that would make those choices...

I wasn't saying to branch off at every decision, just one major one.

I'd say I have done something like this before. Its never a bad idea to have multiple saves around key points.