It’s the first time I’m in a situation like this so I don’t know how to deal with this feeling of guilt or “cheating” on the company for considering other offers. How to make it not awkward for myself and the company, and how do you deal with dilemmas like this?
Having been there myself relatively recently, I can see why you'd initially feel guilty. If you get more than one offer, pick the one that's best for you and politely decline the others. They may come back with a higher offer if they really want you but I wouldn't suggest getting into a bidding war or you just risk annoying all parties and ending up with nothing.
Finally, don't burn any bridges. If you worked with a recruiter, stay amicable - you never know when you'll be using their services again. Even if you applied directly, you may want to revisit their opportunities next time round.