Ever thought of *thinking* differently?
Well, what is the easiest way of making the enemies more challenging? Weakening oneself...
There are many ways to accomplish that. You can add own "borders" to the game. For instance, when you're playing anything but a thief, don't steal. Plain and simple. You'll quickly experience the need of a couple of coins. Then you can try to stop looting everything a dead body has on it. Try thinking of being in a rotten cave, it's hot, sweat's running down your forehead, this nasty chain-armor just stings everywhere, that damn tower shield is just way to heavy and you start hating yourself for not going with short swords instead of these stupid axes. Anyway, you just managed to slaughter that swindling smuggler. What do you find? Parts of steel armour...eh, now. It's heavy, isn't it? And it's a long way back. You can't use it, all you can do is...sell it, *after* this long walk. Let's leave it and take nothing but the coins, the scrolls, rings, amuletts and perhaps that nice shirt - who minds blood stains anyway?
Well, I think you got the point. Take what you need, leave the rest to rot. You'll really appreciate the money you'll earn through honest work. Really.
Alright, another possible way is taking several mods which for instance increase the time you need to level up or master certain skills. There are many of 'em. Well, I forgot the name of that mod now....but I'm sure others can help you with that. Morrowind Expanded perhaps....dunno. Anyway, I need about 4 times as long to reach level 10. I'm rollin' with the difficulty bar at maximum, now that's really hard. I'm poor all the time and can't effort training, because the costs were increased by a couple of mods as well. And you know what? The game's never been so much fun befor. Just give it a try.