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As far as your question goes:
If you mean pickpocketing then (depending on your sneak level) try not to steal things that are heavy. Someone is less likely to notice you've stolen they're house key than they are to notice you took their sheild for example.
If you mean just random stolen goods then don't do it in front of people. The NPC tend to go to bed around 12 am (on average.) Just break in and sneak around looting shit.
Tips:
Open Very Easy, Easy, and Average lock spells will help you out a lot in the earlier part of the game. Get a hold of average if you can cast it (or higher.)
Theirs a nice Invisibilty spell sold from the dealer in the Asassins Guild. But it if you can cast it. (Not Chameleon, INVISIBLE.)
SNEAK EVERYWHERE. Most importantly in caves, you get a high sneak skill + and invisibility spell and no one will find. I'm a 98 sneak right now and I can run with the Invisibility spell and no one will ever find me. It's pretty sweet.
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