Well, what I recommend is right away DO NOT follow the main quest line after you leave Helgen, Just go running around doing plundering, Enemies are easy and usually your potions are provided within the dungeons, and a BIG plus is no Dragons yet, you can earn some hefty coin just by doing that.
Best way to get good armor right off the bat is to join one of the two warring factions. Empire or Stormcloaks. They will give you their armor once you join them and they'll give you really good ones once you go up their ranks.
Just doing smithing will get you good armor. You don't have to 'cheat'. The game does a good job of not pushing the boundaries of your knowledge about the game. You will get spoon fed as much as your willing to learn. GL HF
Like others said, I would join a faction or go dungeon delving/bandit killing and loot. Depending on the faction, they will either give away Light or Heavy armor-- for instance, Imperials give you Heavy Armor, while Stormcloaks give away Light. Heavy Armor gives more protection, but makes it hard for sneaking and you move slower as well.
If you don't feel like doing the war related quests first, there are some other factions available. Here is a list of factions that give away armor or have quests where you can obtain some nice armor:
- Companions (located in Whiterun. Heavy Armor)
note: They do not give you armor at first, but you will have access to armor later on.
- Dark Brotherhood (Possible spoiler if I reveal how to find location. Light Armor)
- Imperial Legion (join in Solitude. Heavy Armor)
- Stormcloaks (located in Windhelm. Light Armor)
- Thieves Guild (located in Riften. Light Armor)
--- Nightingales (a sect of the Thieves guild you can join after progression. Light Armor)
Just use what serves you best at the time and your level. Smithing is a great craft to begin working on and investing perks in so you can make your own, better armor. If you're into thievery, spend some time on sneak so you can steal armor from shops and houses.
If you want to join a war faction and have heavy armor, then you will have to travel to Solitude to join the Empire. If you don't feel like walking, there is a carriage by the Whiterun horse stables you can take.