Thieves are typically assigned to an area where they will attempt to pick the pockets of people who stop or pass by. They can do this easily enough at any time of day. They can also be assigned to break into a building and steal from it, but this is usually best done at night. Once you've upgraded to at least a Thieve's Den, your thieves gain the kidnap option, allowing them to attack someone, knock them out, and bring them back to the den where they are kept as a prisoner for 24 hours.
Burglary is high risk, high reward. Pickpocketing is low risk, moderate reward. If caught trying to pick someone's pockets, they'll run back to the Smuggler's Den (or its upgraded version) and hide in it.
Thieves can be selected from the buildings menu on the right hand side of the screen, and then their attack options can be used as normal with a selected unit. Their attack options are 'Pickpocket', 'Scout building', 'Commit burglary', and 'Attack.'