In my first game, everytime I had on the compass something undiscovered, I headed toward it until it was discovered and added to my map. But then, I resume my initial course, or headed to the next undiscovered item in the compass. However, I did not explore the cave or fort or whatever. IT was just to have it on my map.
Also, when I cleared a dungeon, I would take everything, making several trips to the shops if necessary.
Now, I play differently. I follow a path to a "quest" (or at least I set a main destination, like going to Kvatch). If one this route I come close enough to a location to discover it and add it to the map, then I stop to explore the dungeon completly. However, I don't go out of my path to discover over locations that appear on the compass but are a bit to far off.
Also, when exploring a dungeon, if there is to much loot and I cannot carry it all, then I select what I'll keep and abandon the rest.
Then, when I exit the dungeon, I fast travel to the nearest shop "behind" me, and sell the excess stuff, then fast travel back to the dungeon and resume my travel from here.