I usually send him to Rikku's path to learn Steal first, but I'll be the first to admit that by the time I'm learning it, I usually have Rikku herself. However, I do hold on to it and later get the items to put Master Thief on his armor. Then I use the combo to do what Karifean said about the level 3 keys.

When he's got Steal, I usually use a Friend Sphere to teleport him to another person's grid (reset + Blitzball - I'll admit I enjoy playing it). Wakka and Tidus are frequent candidates since they are usually past the crappy parts of their grids by then. Auron is pretty compatible since they can put Breaks out on certain bosses faster if there are two working on it. I did something interesting recently where I had him go with Lulu after learning Steal. It was interesting, but IMO not very effective - his overdrives really aren't very damaging no matter how high his magic is, and higher strength blends better with his piercing weapons. So he doesn't make a very good mage.