I think the key is to have them do anything possible to avoid getting hit: leather armor sets, Feign Death, trinkets/armor that reduce hostility, high dexterity, Distraction (from Bard class), Stealth, etc. Couple that with your tank(s) doing everything possible to *attract* attention and it helps keep your rogue alive. With my current rogue build he actually does more damage/second with daggers than my two-handed tanks with gigantic ass swords and mauls, so keeping him alive is imperative (Sten and/or Oghren usually go down before he does).