You can go about it however you like tbh, you don't lose out on any quests by advancing a questline(apart from an obvious one where you have to choose a side). As for a break in the main quest for exploring(i like to do this as well) you are probably at a decent point atm, also there is a good point later in the main quest line where you are asked to find someone with little indication of where he is, I did quite a bit of exploring at taht point and got quite a few sidequests done). Also, the game continues after the main quest ends, so if you wanted to you could go straight through it(not to everyones taste though).
As for Soul gems, you fill them by using the spell Soul trap, or with an enchanted weapon which traps souls after a creature is killed.
Here is a useful article on soul gems
Also FYI there are spoiler tags now