I'm glad you asked. First order of business will be to hold a guild meeting to outline how everyone fits together. This will also lead to jax's first part of his grand scheme. Eliminate the men who killed Vitus Hayn. This is the rival guild as you may remember. This action whilst providing some cathartic vengeance for some, will also act as a strategic move to establish the company's position in Tamriel. Not only will it show that our lads are not to be trifled with, but it will also send a message to the next target, Maven Black-Briar.
I would like this first main objective to require several missions to accomplish, with people going off in pairs or small groups to carry out various tasks that will knit together, leading to an eventual slaughter/bloodbath with the whole guild. During this if people want to explore their own jobs or heists they can. In my mind this story exists in several acts or chapters, and this first one should be about settling past grievances and setting up the relationships between company members.