Im mainly using alchemy, sneak and illusion. Side skills are pickpocket, one handed and light armor. Am I going to run into troubles?

Skyrim can be played with virtually any combo of skillsets. Just pick what feels appropriate for the character you are using and go from there. The best tip I can give for playing a thief though is don't save before pickpocketing and don't load if you get caught. It adds some nice tension to things.

sneak, pickpocket, lockpicking, one handed, light armor, illusion and alchemy are great skills for a thief. Oh, and speech so you can sell stolen goods to anyone, and not just to fencers.

Alteration can sometimes be overlooked, but for my build like this it helped. I mainly used Magelight as a distraction spell, but it was very effective.

You may have a hard time with dragons. But if you put perks into the poison part of alchemy that will help. Damage poisons work on dragons, but not effects like paralyze.