I'd really advise against an ultra for your first win. Gate closer is achievement enough and doesn't require you to do so many ridiculous things.
Saving Khelly gives you a bit of a corruption buffer that basically allows you to take your time in the deep CoC areas. The SoCR aren't really necessary, and none of the other items from Khelly are of particular help to you. If you get the scrolls from the Dwarven Mystic, I definitely wouldn't worry about saving Khelly unless you're going for an ultra. If the Mystic gives you the other stuff... well, it might be worth making more of an effort, especially if you're like me and really can't stand having more than a couple of even moderately annoying corruptions.
Hoping to win with every class, doomed. Archer, Barbarian, Bard, Beastfighter, Druid, Elementalist, Farmer, Fighter, Monk, and ULE Priest down.