Not really sure how to make a rogue but this is what I have come up with so far:
Dark Elf
Put main points into stamina and none in health (little to no magic on this character).
Required skills:
Archery: main attack style
One-handed: to dual wield daggers when I run out of arrows
Smithing: Not for armor making, just to improve my bow
Enchanting: So I can enchant my armor to give me health bonuses since I'm not going to be putting anything in health.
Alchemy: for poison making
Sneak (of course): for well... sneaking
Light armor: for protection
Lockpicking: not really necessary but will come in handy.
Main guilds/factions:
Dark Brotherhood
Thieves Guild (only for nightingale armor)

So, can anyone give tips on how to improve this? Also, some advice on how to play as a rogue?

I usually play a rogue in TES games. There are so many arrows in game, that you will most likely never run out. Using arrows to pick enemies off from stealth is good, and finish them off with daggers when they get too close. There is a set of gloves you can get that will double your one handed sneak damage (Up to 30x) so getting close to an enemy is both exciting, and terrifying (For thought of them seeing you). I would however recommend putting some points into health, cause light armor (Unless exploiting crafting) will still let you get beat up pretty badly if you're seen, and no retreat is possible.

Unless you're doing it for Role playing purposes, the Locksmith tree is not important, since you can pick any lock with enough picks and patience. I know you don't want to use magic, but Illusion is a wonderful school, that compliments a stealth build. Remember, playing a stealth build requires more tactics than anything, but nothing feels better than sneaking up on that bandit chief, and slitting his throat One more thing....try to keep your one-handed and Archery relatively level, otherwise your blades wont be useful when you need them.

Oh thanks but basically the only light armor I'll be using is Nightingale and damn its already enchanted so I definently will need to put some points into health.

Ah, fellow Dunmer rogue, more than happy to help.

Ok first off, ditch the idea of not puting points into health, Matter of fact, balance health and stamina. For your guardian stone, go with the steed or the lord later on, the thief early on.

For skills:

• One handed (dual wielding)
  
• Archery
  
• Sneak
  
• Light Armor
  
• Lockpicking
  
• Pickpocket
  
• Speech

Ditch enchanting and any other magic, you don't need them if your a good sneak. Now in terms of guilds... I wouldn't join the DB. Your a Rogue, not an assassin. You don't kill people for money.

Now while playing, always keep in mind that a Rogue's ultimate goal is money. Money, money, money. You cheat, lie, steal. But you are a charming son of a [censored] none the less. I hope this post helped some. If you want my perk layout, let me know.

Thanks for the help but basically the only reason I want to join the DB is to get the sneak gloves that let you do extra damage.
EDIT: and yeah, I realized I don't need enchanting since the main reason of that was to give health bonuses and your idea of balancing health and stamina is pretty good, so I'll use that.

For Health/Stamina I usually do a 6/4 ratio, and it works great. I usually quit with Stamina after I get around 150 or 200

don't perk locksmithing. do put points in health and stamina. do perk archery and sneak like crazy.

Don't forget neck and ring enchants can have the Health on them.