What next is you play the game your way. I don't mean to be rude, I really don't, but it baffles me how you can get any enjoyment out of a game like this by asking to be lead through it. You have to remember it's a role playing game, and that means that you should be creating all of the twists and turns, not asking others to plot the game for you -- getting technical advice is different, but that's not what it seems you are doing. Immerse yourself in it, and just HAVE FUN!

Edit: and never, ever be afraid to make mistakes, even whoppers. That is a major part of the enjoyment of RPGs.

Exploration feels far more natural in the first game, and part of the reason I hold the sequel in a lesser regard is because it feels more constrained. All I'm asking is: is there a path leading to Imoen's rescue that doesn't involve the Keep or the other Copper Coronet quest (the Windspear Hills or something...)? Both quests practically beg to be done first, as they offer a fast way to meet the 20k sum need to fund Imoen's rescue. But I hate Nalia, and I've rescued her stupid keep countless times. My main concern is getting back to Bhodi's maze (which is where I quit last time); I'm more than capable of handling myself after that point.

Absolutely. You don't have to do anything you don't want to do, and that is precisely my point. Your character is a thief, right? So where would a thief start his/her search? I will just leave it there...