If you don't plan on making money from them, sell to a fence, or merchant in a separate hold, and buy them back. (useful if you stole a weapon or armor you want to use). But if you want to make money I wouldn't worry about it, you can just sell to a fence, or to a merchant in a separate hold. I think fences pay more too.
This may sound stupid. But do i have to join the Thieves Guild to use their fences?
Are there no fences that do NOT belong to the thieves guild?
If you don't plan on joining the thieves guild, you can sell a stolen item to a merchant in a different town, from witch you stole it in. Fences pay more, and you cannot use a fence unless you enter the thieves guild though.