Note the % of chance you'll get caught for a start. Practice on people in the middle of nowhere or alternatively, do what I did if you're up for a lot of saving and loading and practice in the Markarth Guard Tower (right at the top). There are often around six guys there sleeping. Pocket them all, dump the stuff on the ground, wait 6-12 hours, pocket the next shift of guards who are having their nap.

Easily the best spot to level Sneak, too. I started off saving every one item, then as I got on I started saving for every three or four items pocketed. When you're getting higher in level, start wandering castles, palaces and the like (basically wherever a Jarl lives in a major town) and pocket everyone there, you can usually get a good spot to hide for every individual there, and they often sleep in these locations as well.