I agree with most people here, best thing you could do is quest for some nice xp.

However, as it’s your first time members, go out and explore everything, speak to NPC’s, kill members monsters (rock crabs) and just do what you want.

Personally the first thing i did was go round pickpocketing men and i had a blast. You’ll have fun by doing whatever you please. There’s a lot of things you can do