Khajit vs. Argonian: I love Khajit both for their lore, their voices, and their natural aptitude at being thieves. Argonians just look ugly to me, and their voices are hideous. I also like racial benefits of Khajit, as they're fun but not overpowered.
Pick pocketing is awesome, yes. After placing one perk point into the tree it's extremely easy to level, and the profits are tremendous. Remember, the more valuable the item the more your skill will increase so target the rich, they like to carry enchanted jewelry on them. As for the perks, they're pretty optional but I LOVE the ability to slip a poison into someone's pocket and kill them that way. So badass.
Don't focus on speech, it's useless and so are the perks. You'll level it naturally via bartering and quests. Ignore the perk tree. Speaking of useless perks, don't put perk points into lock picking either.
My Khajit Rogue is an archer, and I don't find too much use in the one-handed tree. Without giving anything away, you'll find later on that with a certain piece of equipment and a perk (15xbackstab with daggers) you'll typically 1-shot everything with dual-dagger backstab without using perks in one-handed.
Is sneak worth it? YES! This is the most important skill of a rogue, from RP elements to practical. As an archer, you'll do 3x damage if you're hidden. I play on Master difficulty with no perks in light armor, so if I'm seen I'll die. It really adds to the immersion. This is also a desirable skill for a successful pick pocket.
As for other skills to focus on, I'd recommend both Enchanting and Alchemy (poisons) if you want a real powerhouse character end game.
Have fun!!
