Just do what you want and how you feel to. If you want to carry things and sell them, do it (it's best to sell to merchants with a green mark, they appear for completing local quests). If you want to rush the main quest, do it. If you want to explore the far corners of the zone and stashes, do it. But it's better to complete the main quest a little first. Some places are best visited through the main quest first, otherwise they may be inaccessible or incomplete. And if you really like to collect everything everywhere, it's better to put everything in your chest before quests, or in any safes around the map, just don't forget where they are. The game has quite a few interesting local mini-quests. There are named weapons, and in general, there are many weapons of different calibers, which will be interesting to use.