Most fun way to play Oblivion Shivering Isles?

I'm part way through Oblivion (my stealth-blade char is level 26, I think) and haven't set foot in Shivering Isles yet. What would be most fun:

1. Finish Oblivion and then do SI with my hopefully uber character?

2. Finish Oblivion and do SI with a whole new character?

3. Take my current character to SI now and go back and forth between Tamriel and SI?

What have other people done?

(If it matters, I am running Francesco's mod and the AF Level Mod.)