Well, with any character build I like to think about what I need to do and how I intend to do it. The rest is all RP.
For instance, I need to open locks at some point. If I intend to use a custom enchanted ring with an Open spell on it, then I may not bother to have the Alteration skill, or Security. I need to get up into high places, so will I make Levitate potions, use a spell, item, or scroll, or will I just try to have a huge Acrobatics skill? I just don't like to end up with skills I don't really use, and end up trying to use them on purpose just to level up.
For a Rogue, flat out heavy combat would feel wrong, and so would major spellcasting. I might go Hand-to-Hand, and maybe Marksman if that feels like something he would do. I might get into some minor spellcasting in order to avoid combat when needed, such as Chameleon or Calm, which can be done with Illusion or with enchanted items. Calm spells would seem to fit pretty well, since he would have a knack for getting people to not kill him.
Thieves Guild seems to fit pretty well, since your Rogue may have some unorthodox opinions about property rights.
Having alchemy is a matter of deciding how you want to do certain things. If using enchanted items feels right, that might work better, because you need to cast Calm or something on enemies (or on People With Whom There Is A Bit Of Tension At The Moment), and you can't throw potions at anyone. So if you have Enchant, you can use that for healing or for any of 3000 other little chores. Alchemy is good deal cheaper to do, of course, since custom items cost a lot, but it's possible at least, and your Mercantile skill will help with that.
The downside to Enchant is that it feels sort of odd, since you are trapping the souls of monsters and demons and using them to power your arcane magics, which doesn't seem very Rogue-y at all. So maybe Alchemy is better--Rogues are really good cooks, I have just decided.
In that case maybe go with Alchemy for healing, levitation, waterwalking, that sort of thing, and then Illusion for some Invisibility, Chameleon and Calm to get those narsty demons and bad guys to leave you alone.
And yeah, Luck as a fave attribute both works in a practical sense and fits a Rogue pretty durn well.