Did one of the newer patches remove this feature? It hasn't worked the last two times I tried it.

I'm almost positive it still works. That one guy in Solitude is my own personal Daedric arrow farm.

Yup, I just tried it on that guard yesterday and it worked perfectly. OP, make sure you have the perk that lets you pickpocket equipped weapons. Reverse pickpocket a daedric arrow on him, AND lift his steel arrows. He should equip the daedric since he has no other options.

Either do this, or I believe if they are asleep you can pickpocket weapons.

Ok that's probably why it's not working for me, thanks.