I'd like to argue strongly against the episode idea. Roleplays with an episodic plot tend not to work out as well, at least not when the episode "beginnings" and "endings" are clearly defined, because people seem to have a hard time getting past the first couple "episodes". Also, RP's with this setup tend to rely strongly on a cast of characters that sticks around permanently. And that's hard to maintain. 

Really, though, I don't see why this RP needs a special sort of set-up at all. Just run it like a normal RP, throwing challenges at your little band of adventurers whenever it feels natural.