Ok so the follower I use is Mjoll the Lioness and she hates the Thieves Guild.
I stole in front of once and she was all like 'By Ysmir! A thief!' and I lost any items I stole. So should I just leave her behind while doing the Thieves Guild questline since she hates stealing and the Guild? I don't want her to hate me and not follow me anymore; she's the best follower I've had.

The best follower for a thief is Jenassa.
But tbh, a follower isn't good for a thief.

To me thieves seem to be more solitary and like to work alone better.