To get your sneak skill to rise very quickly, when you have the option of joining the thieves guild by meeting Armand at the Imperial Water Front garden around 11 pm, accept his task. He will offer you the option to purchase lockpicks. Don't buy any. Instead, go into sneak mode and go behind him. Not only will you get the lockpicks from him for free, you can also repeatedly pickpocket him to build up your sneak skill and all he'll say is to go ahead, he doesn't need it anyway.