[quote name='dcfox']I'm still just a bit outside the Imperial City. I don't think I can do all that stuff yet.[/quote]
Depends -- once you get out of the sewers you can pretty much do as you please. Though to get the skeleton key, you need to be level 10 I think. It's one of the Daedric quests.
You can buy spells in the market district, so you can pretty much do that whenever, if one of those two shops has something like open "easy/very easy" lock.