where is the thief stone?
At the end of the tutorial when you leave the cave, If you follow the road & stay with the guy from the tutorial, he will talk to you about it when you walk past it, as it's on the road otw to Riverwood.
As to levelling up sneak, make sure your crouched when entering quest areas like caves etc.. if you fire an arrow an the enemy from distance & they go into search mode, and you remain undetected, you also get sneak bonus.