The mages guild is in Winterhold. You can quickly get there by going to any stabbles and take the carriage. It doesn't cost much :P Or you could travel there by foot/horse. As for the red X's... I'm not sure.
lol. Just got some new mods including turning gold septims into green rupees from the legend of zelds series and gold/whit paladin-like daedric armor
edit:
The official TES construction set for skyrim is coming out on January, which means I can make mods much easier and There will be a lot of different and better mods other people will make. I can't wait! :3
Yes, you get hearts from deadra, but It is hard to find daedra. I've heard you can can daedra hearts from alchemy shops too.
I recently did a quest and got 3 deadra hearts.To get this quest, go to the place just south of winterhold, talk to the person on the big hill, and accept her quest to get the azures star.
I got my house in Solitude. It cost me 25,000 septims. I think it's the best house in Skyrim.
I'm lvl 40 now :D
I got full dragonplate armor and is going after deadric artifacts.