Stealing
Stealing is the art of taking items into your possession which you do not own, without the act being noticed. The trade skill of the thief, stealing is a crime and is therefore punishable by the Town Guards (should news of the offense come to their attention.)
Getting away with theft requires no other skill to function than stealing itself, though there are various supportive skills to aid those who partake in such questionable behavior. Most notably would be Snooping, which enables would-be thieves to inspect inventories previous to committing the offense.
Hiding, Stealth, Tracking and Detecting Hidden are known to be good options for supporting skills when building a thief.
Training Stealing
In order to train stealing, you must increase the amount of weight you are trying to steal as your skill gains. The easiest way to accommodate this is to simply steal from a stack of items which are not in your possession.
As skill training progresses, your character will steal more and more weight per attempt until GM, and it will become less and less noticeable. In general, the more people around you that could potentially witness your crime increases the risk of being noticed, and that fact does not change regardless of skill level.
See also: Snooping