The advantage of making a custom character is boosting your stats.
The pre-made classes can give you good starting stats, but not as good as doing it custom.
That's why the custom class creation is a lot of fun.
If you plan on making a pure Thief, I suggest degrading your strength a bit and boost your speed, agility and intelligence.
Here's my skills suggestion :
Primary
- Lockpick
- Stealth
- Pickpocketing
Major
- Short Blade
- Backstabbing
- Mercantile
Minor
- Jumping
- Streetwise
- Swimming
- Medical
- Climbing
- Dodging
Streetwise is very useful if you are caught by the guards and are brought to court. You can lie about your crimes and if you have good Streetwise you can reduce your jail sentence or even convince the judge that you were not guilty of the crimes.
I didn't put running anywhere because it's the skill that improves the fastest. Simply always run and your running skill will improve quickly.
If you do not intend to use magic at all, you can use the disadvantages to your advantage..
Take the one where your magicka is "stunted" (cannot fill up by sleeping)
Take the one where you are less powerful with magicka during the night AND during the day.
Take the one where you CAN'T use magicka.
These three will bring your leveling dagger all the way down and will allow you to get powerful advantages like "Immune to Parylisis", "Immune to Diseases". I also recommend taking Athleticism, which will give you a boost in every Acrobatic/Athletic skills.
As a Race, I recommend a Khajiit too. They (apparently) have a boost in thievery skills.
Enjoy your Thief! You will see that it's really fun to pickpocket a citizen, run away from the guards, climb up buildings, get inside the city fortifications, reach the top of a city wall then leave town by jumping off the city wall. Just make sure not to die in the attempt.
I wonder what Jormungandr thinks of my class proposition. Jormungandr likes magic, I believe. Me, I despise it.