You are being suckers. However, there are consequences to thieving. Once something has been pick pocketed in an area, NPCs will be more sensitive in that area. That means they will get a bit more upset if you accidentally touch something that doesn't belong to you. That is about the end of the consequences.
Being flagged as stolen has no impact on the use of an item. What it does mean is that if you Pick Pocket someone and they find you in their search, if they find anything stolen on you, expect a fight. Optionally, you may have the choice of being sent to a prisoner cell if that NPC is a Magister. As such, you may want to ensure any character with a stolen item doesn't get found by an NPC searching for a pick pocket.
If you are worried about having items flagged as stolen, the vast majority of items can be sold to a merchant are repurchased. This removes the "stolen" flag. Alternatively, you can buy the item from an NPC instead of stealing it. Then, pick pocket the NPC for gold. Stolen gold can be merged with any other gold to get rid of the "stolen" flag. You can even merge two sets of "stolen" gold to get rid of the flag.
