I tried to go straight there for the Thieve's Guild on my newest character.

12 hours later, I walked into Riften, level 12 with 13k gold.

so the only way to actually find out ANY info on the thieves guild is to continue on with the mq?

Yes, the PC will be led to the Thieves Guild during the Main Quest.

I found them accidentally; didn't know where they were headquartered out of. What I did was explore Whiterun for a while, pick up quests, then took the carriage on a trip around the cities to familiarize myself with the area and talk to NPCs/get quests. If I got to a city at night, I would take a room at the inn. While I was at the inn in Riften, I was approached by Brynjolf... the rest was history.

My character learned of it because of the No Stone Unturned quest. I found the Unusual Gem and that led me to Riften and then the guild.

I usually join the thieves guild at lvl 10-12.

ya, that's pretty much the only way i can get there or by randomly traveling i guess. it's just that from my strict rping i don't want to use quest markers and i can't imagine an unusual gem telling me to go to riften, lol.

i'll keep trying

Theres the book I think its called Nightingale Fact or fiction and I think theres another that both talk about the thieves guild in riften, that could work for you unless you want to be told straight up to go to riften by a npc.

Oh and I think the breton shop keeper in whiterun always has the nightingale book but I may be wrong

I find out about the thieves guild when I was trying to get into contact with the Dark Brotherhood and Brynwolf contacted me.