yeah, you get it further down the quest-line. you get the standard thieves guild stuff too - a word of advice, if youre not going to use it, dont sell all the pieces, keep at least one, youll need it.
ive started as soon as i created my person you at least need to be like level 15 im dying in like 3 hits so wait a bit do all the side mission for vex and the other guy twice to get some cash and armor upgrades