Only times when I change characters is when I press a relative's claim to the throne and we are closely related. Otherwise, I don't change characters since I rarely have trouble running my kingdoms.
Playing a state isn't tough at all and actually if you don't care about marriages and stuff, your realm will be before your dynasty. For me it's like this in most games as I usually ignore my family and instead give land to people that have distinguished themselves in my service rather than just brothers and cousins. Only in my latest Byzantine game I really took to dynastic game and poof, 90% of the Empire is ruled by Komnenoi. Much more stable than I thought...
I just hate it when, say a count in some minor duchy revolts against a doux above him and both are of your dynasty. Literally the whole empire takes a side thanks to dynastic alliances. WWI a couple of centuries early. That said, I still always play this way just because it gives you a focus beyond expansion and, to be honest, makes things harder early on.