most everyone is asleep by then. when you get inside take EVERYTHING that's of value: books, potions, weapons, scrolls

it's also good to learn a couple of magic spells to make your thieving easier. you can get ease burden when your alteration level is still pretty low and that helps by letting you haul more stuff. the invisibility spell is obtainable once you get a 25 in illusion. if you need to get your magic school levels up, just learn a low level spell and cast the shit out of it while you're walking around and you'll get up to 25 in no time