There is plenty for a thief to do in a large city. However, unless you want to settle for simply picking pockets, it is recommended that you track down the local thieves' guild for better tools and access to the best jobs!
Work your way up from small time heists to robbing the city's most wealthy.
Your agility and balance will be tested throughout your journey. Best not skimp on your training!
As a rogue you need not engage in all conflicts. Try tossing a smoke bomb and make a sneaky escape!
Don't forget to check the black market from time to time. Perhaps some of your own stolen goods will end up there.