I just started a new charecter which is a paladin. I'm doing the quest where you have to rescue thorold. I'm roleplaying and not stealing anything and doing everything for good. Would a paladin steal or lockpick for the greater good? I know I'm going to have to use it later in this quest. What do you guys think?

Depends on the strictures of his/her deity.

ahhh... the dilemma of the Paladin: Roleplay vs Gameplay

I find TES games very difficult to roelplay straight and narrow goody-two-shoes Paladin type characters. Somewhere along the line there will morally gray (or worse) choices facing the character.

Even bandits can cause problems. "I GIVE!" and then they cower undercover. A Paladin would accept their surrender and "arrest" them. TES does not allow this action. So, your choice is to forever be tied up with them as they "surrender", wait for them to heal up, fight again, "surrender", wait... and so on until you're lucky enough to kill them before they surrender.

Another choice is to just move on when they "surrender." Would a Paladin do that, leaving them to accost the next traveler?

I did a playthrough with a character that was sent down to Tamriel to gather the Daedric Artifacts and take them off of Tamriel. That was a fun playthrough and not as limiting as a straight up Paladin

Irykyl does have a good point, though. It really depends on your Deity, though some Deities may not have Paladins, per se