I've finished the quest "Diplomatic Immunity". Now I tried to return to the thalmor embassy because I want to collect all 24 gems for the thief guild quest. The official guide says it's possible to return after "Diplomatic Immunity" but the door is locked and you need a key.

What can I do? (No, I will not and can not cheat)

Well... I don't think you can return, I haven tried the secret passage (that you escaped with) though.

If you can't return you always will carry 23 gems with a weight of 0.5 each forever! And you will never finish this quest. This svcks!

Actually quest items do not weight anything, even though it lists the weight in the inventory. You can always add a gem or remove the 23 if you're playing on PC

there is a way to return, ive tried this myself and it works, if you go to the reeking cave (near the embassy) and jump up the hole in the roof you'll be able to 'escape' the zone, through some nifty jumping and use of the whirlwind sprint shout you can get back up the path you fell down at the end of the quest and are able to enter the embassy, there is a video of this on youtube (http://www.youtube.com/watch?v=AJlOBn1T3c4). its pretty much a glitch but it allowed me to get the last stone of barenziah on my xbox

Looks tricky but I will try it. Thanks!