In my observation, this is very common among new players, and ultimately a limitation in most cases.
The thing to keep in mind is that each character will play differently, and experience you gain playing one loses some value the second you switch to another. Also, you're going to have to repeat the easiest sections of the game- this can be good to an extent, but the 10th time around your player skills are probably atrophying compared to the guy who is plugging away at the higher levels.
You'll learn a lot more playing one (flawed) character to its end then you will by playing many characters for a few hours each. You might lose experience or equipment due to a defeat... but deleting a character means losing 100% of both, along with all the progress you made with building a reputation, skills, and more.
