Ooh, I've done this. Was on a Vampire: The Masquerade binge a few months ago and made a wandering herbalist in Skyrim who was turned by accident while investigating the mysterious burnt-down house in Morthal, and then simply immersed mysef in the night-to-night of being a vampire in the middle ages.
Here is my personal recipe:
Only ever go out at night. Skyrim is being a pussy about it by just freezing your regeneration, a true vampire takes lethal damage from sunlight. Your two main priorities for survival should always be:
1. Blood.
2. Shelter from the sun during the day.
There can be no compromise. If you've gotten lost somewhere in the Rift minutes before dawn and your only source of shelter is some poor farmer's hut, then you must do everything in your power to occupy it so you can sleep through the day, up to and including killing him. Drop fast travel and keep an eye on the sky when traveling by foot so that this is always a concern.
Feeding on the sleeping is also nice, but I've always found it more interesting to only feed every second night, using the stage 2 charm ability to feed on beggers and guards and travelers and whatnot in deserted alleys and wherever I can be reasonably sure not to be seen while doing it.
Otherwise, you need to travel. Staying in one place for too long means that someone is that much more likely to realize your affliction. You should still keep to the major and semi-major cities, though, as that's where the blood is. You're a social creature, and immortality is going to be very boring if you can't indulge your curiosity if there's a mystery in town, or someone has a story to tell. Also stay the **** away from dragons. You're a vampire, fire and sunlight are your two greatest fears in the world.
Sneaking through the night looking for easy prey, securing bolt holes and hiding through the day to survive as you wander from place to place looking for anything to make your unlife more interesting than simple survival is what I imagine being a vampire to be all about. I also like to think that Vampirism slowly corrodes your humanity, gradually making you more ruthless and amoral no matter what sort of personality you started out with.
Different flavors of mind control is also a staple of vampire lore, so if you think you'd enjoy the Illusion skill tree and find it compatible with your character then definitely go for that. You can just say that the powers are a feature of vampirism if your character wasn't magically inclined before, and it'd be perfectly true.
And after a good long while, when you're comfortable with your unlife, if you can divine a reason for your character to go look up the Dawnguard in the first place(I couldn't), you can eventually join the Volkihar and engage in the cutthroat politics of vampiric royalty. Not before, though.
Also, I often use an interactive character sheet to figure out what my character's strengths and weaknesses are and the Dark Ages sheets from White Wolf fit the Elder Scrolls setting pretty much perfectly. Here's a basic sheet that you can fill out using any PDF reader:
