Start by making sure that you're completely hidden. If your skill is still low, only try to steal low weight, high value items like gems and jewelry. It seems like most people at least have a necklace or ring on them. It won't take long for you start cranking up your skill, which will allow you to start going after bigger items.
Also, quicksave/quickload is a pretty nice. It's arguably cheap, but I do it.
I'm really enjoying the skill on my new assassin. I'm almost to the point that I can steal an enemy's weapon from them before combat. The extra carry weight is also pretty nice.