| You can convert empty grand soul gems into black ones at three different alters without doing the mage guild quests.
Spoiler, highlight to read:
Apart from the place the guy in the Arcane university sends you there's also Fort Linchal, which is North West of Kvatch, but the easiest one to get to is Fort Istirus. Thats south of the road about halfway between Skingrad and Kvatch, the alter is a short distance west of the fort itself.
Wait until 10pm and look to see if a light is shining down on the alter, if it is pop your grand soul gems into the alter and cast soul trap on the alter, once for each gem. If it isn't wait 24 hours, check again etc..
Any of the alters works for the mages guild quest too, sending you to the most difficult alter to reach is just a wind up.
End of spoiler | 
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