Well everyone plays their way but if you are unsure of where to go next, then your best bet is to check the map anytime you go into a zone.
Find the NPCs with the Gold Thought Bubbles as they will give you quests to do and reward you with exp so you can continue leveling without a worry about
how to get to the next level. Every zone has a ton of quests and more will unlock when you revisit those same areas once you've reached certain levels.
The Main Story Line will eventually lead you to the next cities so you could wait for that part to go traveling to other cities if you wanted and just work on your current cities quests.