My Dark Elf Thief/Assassin:
This is hard sometimes, role play wise. He is a member of the Thieve's Guild and Dark Brotherhood (though I am not enjoying the second very much this time round.) He is also an Elf and sleeps at least 6 hours every 48. No matter what, he needs this rest. If he just finished a quest, and has not slept recently, he goes back to town to catch up on rest. When brewing potions, I wait 1hr for every potion brewed to simulate time spent making potions. If this results in a full day of brewing so be it, it is more immersive that way.
When thieving, he cases a joint. If the job is a quest, I turn off the markers by unmarking the quest. I then find the house myself, by casing the city. I watch the residents. I time them. This might take a day or two per quest, complete with staying at inns while casing a place. I then move in, find everything in the house without quest marker help, get it and move out. I take my time, case the joint and play it strategic. I don't have to - I know quest markers will point the way to that jeweled vase - but I do.
I also RP that, although Whiterun's Jarl spoke of being Thane it was bestowed only as an honorific, not as a position within the city, and that I have no authority there. I had just helped slay a dragon and he wanted to make a token jester by 'allowing me to pay him for property.' Asshat. Fits a sneak thief better that way.
I do use magic, since its part of a Dark Elf's legacy, but I want nothing to with 'upstanding' guilds like the College. No thanks. I use what I learn or find. I also dual wield because not blocking in light armor is a challenge. No smithing (he steals what he needs) and no enchanting (he is a Dark Elf, not a formally trained, professional mage by trade. I stick to my guns RP wise, avoided enchanting and magic the most part to focus on light weapons, archery and poisons. I do use Shouts, but those are part of the character's heritage and cool down keeps em balanced. Plus, they are pretty fun.
Hope that helps others restrict themselves and role play characters on the darker side of things. I find these more difficult to RP than the upstanding, noble warrior types.