I've always found that, regarding thief characters, it's more fun to make up your own adventures. Like you pick a target, preferably someone of high status, and you figure out their daily routines etc so you can rob him of everything he owns. Also, find something and make it your calling card that you can leave behind for your victims. I use red mountain flowers.
I would also advise you to take up alchemy.
Another neat trick: if someone is blocking your path and you cannot get around without exposing yourself, try to fire an arrow a few yards away from him, they will likely go investigate the sound and you might be able so slip by unnoticed.
The very best way to enjoy thievery is to pretend you're an evil genius. You grab all the swag and run away while laughing and mocking your victims
