I honestly did main missions until a lot of side quests (actual side quests, not police requests or gang activity spots) opened up, then did as manage side missions I could until none were left.

Rinse and repeat! The stuff you get, and the experiences you have, just in the side missions alone are worth doing in between main missions!

Have fun, and just do what you feel like in the moment! Even if it’s climbing everything possible to find some breakable windows. ;-P