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Being as there is no right way or wrong way to play the game, my advice would be to play it in what ever manner suits YOU the best. If you enjoy the questing by all means quest away. If you get to a part that you can't handle alone you can always ask for help or take a break from the quest and level up some until you can.
Everyone has their own style of playing, what works for them may or may not work for you. Plenty of great guides here, plenty of different ways to do things but at the end of the day it all comes down to what makes it fun for you.
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