I was considering going with both as well. I just wanted to hear about what some people here for done. Going with both would certainly set me up for many different situations. The reason I would love archery is so I could hit those damn dragons out of the air instead of having to wait for them to land.
It probably depends on whether you prefer range combat or melee. I can tell you what I did for my Khajiit thief. I wanted him to be sneaky but also tough as nails in a stand-up fight. I am about level 41 and am going to start playing with the difficulty slider set at Expert or Master because Adept is now too easy with this build.
I put five points into Armsman, two in Dual Flurry and one into Bladesman and Dual Savagery.
I put two points into Archery, just to get Eagle Eye, so I can deliver poisons and make some sneak attacks with a bow, but I only use a bow less than 10% of the time, so I stopped at Eagle Eye.
I put points into all the sneak perks, except I only put one point into Steath, and I have never had a problem not being detected. I think the other four into Stealth may be a waste of perk points. I can do three times damage with a bow, six with a sword and 15 with a dagger.
I also put points into all the light armor perks except matching set, and I put four points into Smithing so I can smith magic and up to scale armor. My armor rating is something like 422, wearing a combination of elven and scale armor.
I have a couple points in a few other perk trees, but that is the core of the build. The 100 sneak perk Shadow Warrior really put this build over the top because with that perk, you can walk up straight up to almost any opponent do a
counting coup or what ever you want to do to get his attention, and then once combat begins, you can tap the sneak button and execute a quick dagger attack for the 15x bonus. If you have a well smithed dagger and five points into Armsman, that will drop almost anything in the game, but I have not been able to do it on Dragons very often because it is hard to get close enough to hit them with a dagger. I did sneak up on a sleeping dragon once and killed him with a single dagger strike.
You mentioned using a bow on a Dragon. It is awefully darned hard to hit a Dragon with a bow when they are circling, but pretty easy when they are hovering. That is one of the situations when I pull out my bow, and I don't think you need a lot of points in Archery to use a bow occassionally, particularly if you poison your arrows.
I personally don't find the lockpicking minigame hard enough to want to spend perk points on that and lockpicks are plentiful. Some of the pickpocket perks are interesting particularly the one that increases carry weight.
Anyway, that's what I did. I love playing a sneaky Khajiit, especially with what they have done with nighteye in Skyrim. Just wish the dungeons were darker so I could get more use out of nighteye.
Good luck with your Khajiit!