if your in a civilized area they should say "You shouldn't be here." followed by "Last warning!" and then "Guard!" which usually leads to an arrest.
If I could do things differently, there would not be Brynjolf pestering every new comer to Riften into joining the guild. The thieves would not wear obvious "hello look at me in this armor, all thieves wear this!" armor. Come on blend in a little!
Breaking into houses would be harder. I mean what if they locked and barred the door? Try and find a window?
Indeed. I also kind of hate how guild members never leave the cistern/ratway. It would be great to see them hustling around Skyrim.
Yes, the whole thing with Brynjolf annoyed the hell out of me, it's absurd to have one of the heads of the Thieves Guild approach a complete stranger and ask them to get involved in a stitch up involving theft and pickpocketing.
There's at least a mod for the PC version that stops him from talking to you and won't let you initiate the quest until you've completed certain objectives.
I'd have handled it by keeping a count of every time the player picks a pocket successfully, breaks into a house and steals items et cetera; doesn't have to be many, just enough to indicate the player's a potential thief. I'd then add a rumour to the innkeepers about the Thieves Guild in Riften, that it's down on it's luck and pretty much done for.
Entry should be like the Dark Brotherhood - you can't just rock up and ask to join, you could be anyone.
Delphine sends you to him too, on the quest to find her sidekick; it'd be better to just suggest asking around in Riften about the ratway, many people know where it is.