My personal RP preference is simply to mentally associate given characters with given quests, even if I have more than one character do a quest.
My Imperial, my Khajiit, and my Dunmer all did the MQ, but I associate my Imperial with it. Since my Imperial is currently my only character to complete the Dragonborn quest, he owns that as well.
My Imperial and my Dunmer both did the CW (both Empire), and I associate the fort assaults with the former and the more subtle missions with the latter.
My Dunmer and Khajiit did the TG quests (out to the "sell your soul to Nocturnal" part) and the CoW quests. I associate my kitty with being the thief, while my Dunmer was the mighty mage.
My Dunmer destroyed the Dark Brotherhood, no character completed it. Easy enough. She also did a few of the daedric quests, though not the ickiest ones.
While my Imperial was a Companion, he chose not to be a werewolf. My Redguard, by comparison, completed it, so I mentalize him as Harbinger.
Each of them are, of course, thane of the holds where they live. My Imperial is also thane of Whiterun, though he doesn't dwell there.
And I don't have Dawnguard, so no issue there. It might get sticky, since my Imperial would likely join the Dawnguard and my Khajiit would eagerly accept Vampire Lord status. Maybe it's a good thing I didn't get it...
Since all my characters marry different spouses, enlist different followers, own different homes, use different unique artifacts, adopt different kids, and take home different pets, they can all coexist in the same RPed Skyrim.