I'm going to apologize in advance for the wall of text that follows, I just really enjoy the idea that you have brought up with this character and I may even use it myself when I complete my current builds.
So to me it sounds like you have a pretty good and basic understanding of the god himself, which is good, because now you have a wonderful place to start from. Now I am going to add a little bit of my knowledge of the lore here, just for you to utilize for your character - as a Champion of Molag Bal I would like to think that he/she has a masterful understanding of the god that he/she serves in order to better his/her ability to do the Prince's bidding.
Molag Bal is the Prince of devouring souls and scheming. Essentially his entire motivation is to collect and devour the souls of mortal beings as well as bring mortals into his own control by masterfully planting seeds of negativity and evil throughout the world. Along with that, likely his most important goal is to bring his plane of Oblivion - Coldharbor, and connect it with Nirn to control and rule it as he does with his realm. Keep this all in mind, I'll explain the importance of this later.
Another thing that is VERY important to note, is the aspect of Necromancy. Molag Bal didn't create Necromancy, though one could say that his champion could utilize it. Mages of the earliest ages of Nirn stumbled upon the school of magic, but quickly denounced it's usage - as they found that extensive usage of the school would eventually drive the user mad and evil. What Bal did create however, were Vampires, which is another different type of undead soul (this is also important later). With this said, Molag Bal focuses more on the manipulation of souls. He likes to disturb the peace, so to speak. This can be done with Illusion Magic, heavily focused on Fury spells and Fear spells, while lightly dabbling in Calm spells (as to portray Bal's ideals and representation). As for Destruction, I would say use the school that causes the most chaos and damage (just like Bal), and that would be Fire spells. Things like Wall of Fire, Fire Runes and Fire Storm would be particularly Roleplay friendly, but most all of them would be great.
NOW, for the roleplaying.
As the Champion of Molag Bal, Roleplaying the character should be focused heavily on bringing the souls of the living to Coldharbor for Bal's devouring, and bringing as much destruction and chaos to Nirn as possible. As an emissary of the Deadric Prince, it would be encouraged to practice his ways similarly to bring him honor. This would mean controlling the souls of the living until they serve you no benefit, and then banishing them to Coldharbor. I would go about it by using Illusion Magic to aid the Champion on reeking havoc on his/her foes, and then killing them. You could use the soul trap spell if you want, and act as if that very spell is you connecting to Coldharbor in order to send the souls there. This could also allow you to use Enchantments for your Armor later on.
Offensively, of course you need to be using his Mace as it only aids your mission. Along with that, as I said fire magic or even another weapon for dual wielding would be great. The more damage, the more destruction, and the more chaos - the better. Every encounter should feel like, and pardon my french, an absolute cluster-f. It should be crazy and out of control, and you should be a flurry of damage ripping through the battle. No matter how chaotic you make the battle though, you will still be in control of all Mortals involved via Illusion magic. Turning enemies on each other, raising dead foes to continue the fray, and lighting the surroundings with impressive flames while you plow through the battle, crushing skulls as you go.
Now with this playstyle, you're going to be HIGHLY vulnerable to damage, so you'll need to counter that with as much armor as you can. Heavy armor is your friend here, and I would even throw in some Flesh Spells from the Alteration tree in there as well, to only add to your armor rating. This is also where the soul trapping and enchantments would come in. Using the Soul Trap spell will allow you send souls to Bal, as well as giving you the ability to harvest their power whenever you want through soul gems. If you decided to dual wield weapons, whatever weapon you have that isn't Bal's mace you could enchant with Soul Trap. Your armor can be enchanted with anything from Fortify Heavy, to Stamina, Health or Magicka, or even general magic resistances based on the race that you decide to choose. For the more powerful the champion, the more successful their mission.
Remember how I brought up how Bal created Vampires? Well, this could be another awesome addition to the roleplaying and gameplay. Vampires have access to a lot of soul manipulation type spells, and have spells that absorb health - you can literally devour the souls of mortals just like your patron deadric prince. These spells, along with feeding off the blood of the living, and all the other Vampiric abilities only give a ton more depth to the roleplaying. It's not particularly necessary, but I myself would recommend it.
Now for the Races. You can of course pick whatever you would like, but for the most roleplaying opportunity, I would go with either Orsimer (Orc) or Dunmer (Dark Elf). These 2 races are the "abomination races", created from darkness and putrid circumstance. Though the Orsimer were created by Malacath, the god of the ostracized and curses, it would be really cool roleplay from the perspective of this race. A well hated and feared people, forced to live away from all other populations - having a character like that would only add to the potential strength, power and visage of Bal's Champion. Not to mention their racial ability is perfect for the types of battles your character will be constantly enthralled in. Plus, an Orc Vampire? Talk about bad-ass. As for Dunmer, their race is literally the Cursed Race. Azura damned them all, permanently. Along with the Orsimer, they are relatively well hated, and even feared - in Skyrim especially. Roleplay wise, it's the same as playing an Orsimer, it just adds to the visage. Soot or ash colored skin, blood red eyes - just a general evil look. They get bonus points as well for their racial resistance too, as they take way less damage from fire than all other races - this paired with Vampirism almost completely balances out the weakness to fire that Vampires get. Their racial ability too helps incredibly with the types of battles you'll have, cloaking yourself in fire, and just looks really awesome while doing it as well.
So I think I covered most everything I could think of when it comes to the Roleplaying, so now I am going to give you the gear setup I am definitely going to shoot for when I play this build, as well as the play direction I would go until the Mace of Bal becomes available (which shortly after entering Markarth.)
For me, I'd try to get to at least Level 5 before getting the mace, just to set up a base set of skills before starting the champions journey. I'd do this mainly by traveling from major city to major city, and doing a bounty contract for each, before eventually ending up in Markarth. You could do this as many times as you want honestly, as the mace scales with your level (unless you download specific mods that effect the daedric artifacts). So essentially the higher your level when you get the mace, the more powerful the mace is. If you want to become a Vampire and are going that route, I'd suggest starting the Dawnguard quests, which requires at least level 10. You'd get the Vampire Lord ability, and access to all the Vampire spells I mentioned before as the Questline progresses. This could be roleplayed as your character tasting the incredible power of Molag Bal's creations, and tipping your character in the direction of becoming interested in the Prince. You don't have to complete the entire questline, you could even just go until Harkon shares his blood with you and then just continue on your way with immense power. Once you get the Mace, or even before that, you could delve into the quests for the Mages College, in order to learn and master your Illusion Spells, and gain as much power as possible from them. Then outside of those 2 questlines, I'd say you can really do anything from there. As long as there is power to be gained, and souls to be damned, this character's opportunities are endless.
The Spells I'd use:
- Alteration (Optional): Oakflesh, Stoneflesh, Ironflesh (This is really the highest Flesh spell you'd need, as around this time you'll have access to numerous options of powerful armors)
- Restoration (Optional): Necromatic Healing, Heal Undead
- Destruction: Any/All Flame Spells, Vampiric Drain (This is the Absorb Health spell)
- Conjuration: Any/All reanimation spells, Soul Trap, maybe even Conjure Dremora Lord
- Illusion: Any/All of them, Focused mainly on Fear and Fury
Gear I'd Use:
Steel Armor > Orcish Armor > Ebony Armor > Dragonbone/Daedric Armor (Or Any combination of Armors and Armor Mods to look intimidating)
If Dual Wielding - Steel Mace > Orcish Mace > Dragonbone/Daedric Mace (Or any bad-ass Weapon Mods)
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This is all just my two-cents, so take it however you will! I think your idea is awesome, and whether or not this helps in any way, I wish you luck on the character and would love to see pictures and hear updates on how awesome it goes! Good Luck!
(Also if you have any other questions, feel free to ask away! I'd love to discuss ideas
.)