Lots of questions
First off, yes, you can go about the Deghon shrine another way. I did what you said first, but didn't like that route so I just killed the guy straight up (the one who wanted me to give him my stuff), took the key, and killed everyone in there, took the book, and left. Got to keep all my stuff in the process!
Also, I did it around lvl 14 or 15 I guess. Really, levels don't much matter in this game. It should be relatively just as difficult to do that mission at level 6 as it is to do it at level 25. Remember though, you do have the option to turn the games difficulty slider down if something really is insanely hard! It can definitely help out in a sticky situation. Some say it's cheating, but I say whatever.
I don't soul trap so I can't answer that one question.
And yeah, sometimes I close oblivion gates if I feel I want to. You don't have to though. Kvatch was a major major pain. But the gates get to be easier and easier as you go on in the sense that you can kind of guess what to expect in each gate. You don't have to worry about running into really tough characters because they are all matched to what level you are. The random oblivion gates will be a lot easier than Kvatch though, or so I think.