Semi-Lobster said:
I completely forgot about annual cencus taxes!

I'm sooo stupid! Thank you!!! But how do you know much you're making from cenus taxes?
Semi-Lobster, sorry for not taking you seriously in my first post. I thought you were joking.
Just by wanting to stop cheating you are on the right track to a higher enterteinment (meaning more fun). Your approach is the right one. Pick a second order country, sliver legion has a nice guide
here. Sweden comes to mind as an easy enjoyable one with great events that make cheating less compelling.
Then download my guide from my signature and read the first chapters. They explain the basis, that you already know, but also help set the foundation for a strong economy.
Remember that good events and bad events even out over the course of a GC, even if they might appear in strings that can get to your nerves. Resist the temptation, they even out, I promise.
When converting, just keep trying. You get a great feeling when that stubborn province finally sees the light.
Doing badly in a war is not the end of the world. Cut your loses, seek a reasonable peace deal and prepare for the next. Remember that, unlike you, the AI is never revengeful nor does go for a kill when winning. The AI is therefore severely handicapped. Make the right allies and come back at a good time.
Remember that in SP you can recover from anything, bankrupcy, civil war, government fall... and still have more VPs than anybody else. Don't give up.
You don't need an empire, you can do without colonization, your navy doesn't have to rule the seas, to have a great game. What you give yourself with the cheats, you probably don't need in the first place.
I will always remember my excitement when playing for the first time a country that was not a great power, Venice, and I was able to conquer my first territory by using a leader and military access to steal a siege from a different alliance. It was a lot better than building an empire with Spain, because it was more difficult.
And as several said before, roleplaying is a lot of fun for many players of EU2.
Other countries worth considering that do not require cheating from an unexperienced player to win, yet are challenging (very long list):
-Bohemia. Just make sure Austria and Poland do not ally against you.
-Timur empire. Hold on during the bad years sheading wrong culture/wrong religion provinces as needed and then it turns a lot easier with the Mughals.
-Portugal. Keep in good terms with Spain and go for the economy.
-Muscovy/Russia. Use your manpower to offset your tech disadvantage, and winter warfare can also help you a lot.
-Persia. Just hold the ottos.
-CoT owners. Venice, Genoa, Oman, Bengal. They are all intermediate difficulty, with specific problems but a good economy to keep them going.