I'd keep a portal to Tamriel somewhere where only I can get to it/ learn how to open a portal between Tamriel/Earth, and spend probably an equal amount of time on both sides.
I'd go to High Rock, because it's just like home. I've got... experience in the adventuring field. That's as far as I'll say there. I'd no doubt travel across Tamriel, and would love to visit Morrowind/Solstheim.
I wouldn't worship anyone, but I'd be partial to a little thanks to Stendarr/Julianos/ Zenithar and a little nod to Nocturnal on occasion (I'll definitely get in with the Thieves Guild).
I'd make a house in High Rock and expand it, adding more houses and farms etc. until I'm powerful enough to have enough political sway as to make my territory an independent kingdom and expand until I rival Daggerfall itself.
I've got it all figured out.