A khajiit is a good start. Get the Thief birthsign, no matter what. The main attributes you need are Agility and Speed, the skills are: Security, Sneak, Blade, Illusion, Marksman, Acrobatics, and Athletics. If you have trouble with lockpicking, go to UESP.net and search Security. It has some tips and tricks to be able to learn how to do it. And Marksmanship is weak-sauce with every build, it does very little damage. It may even be a good idea to get Light Armor instead of Marksman, in case you get in a toe-to-toe fight.
Tips:
-Make sure not to wear shoes at all until you level sneak up, and move slowly. Eventually, there are bonuses from Sneak that remove the need to do this, but it's important in the start.
-If you have no problem with it, it may be a good idea to join the Dark Brotherhood early, to get the Shrouded Armor. It also opens up some Illusions spells that are great for stealth from the vendor.
-Don't use torches. If you need to see in the dark, use the Khajiit's night eye racial.
Although, playing as a thief may not be for you. If you don't enjoy it, then you don't need to do it.