Rogue stealing in D&D does have high risk/high reward factors, however, I think if you get caught (and it should be easier to get caught, honestly), then the entire village/town/sector of city, should be aggro'd towards you. One of those things where you have to hide and sneak your way out of the city and lay low for a like 1 in game day. Boring for you, just sitting outside doing nothing? Then don't steal!!! :P
Me personally, I don't pick-pocket unless I absolutely have to. Would rather earn my progress and loot.
