I was thinking the other day about this a bit. I came up with a few ideas about thieving that would make it more interesting and fun for everyone involved.
1) Sneak should be changed a tad. As it is now, even when sneaking you are guaranteed to be visible from 3 hexes away. It should be 2 hexes from the sides and 0 hexes from behind... if the person is directly behind you sneaking, it should not be a given that you can notice him. It's easy to avoid this by turning your character around and keeping an eye out.
2) This would make pickpocketing more fun, I think. You could sneak up directly behind someone and they might not even notice you. Then you could pickpocket them and unless you failed they wouldn't even know.
3) When noticed as a pickpocket, it should be okay to shoot the person in any locale, guarded or non. Unless of course the thief is idolized in that area (fat chance, I've yet to meet a Robin Hood type). This is, I understand, how it's supposed to work... but I've only ever once gotten the red message telling me it's okay to waste the summbitch.
4) Caravans should require keys, just like cars. Stealing said key would allow the thief access to the caravan. If you were travelling through the wastes and happened upon another player who shoots you, he'd be able to take the key from your corpse and probably the caravan as well, if he didn't kill your brahman. If the key is stolen, you should be able to go to a locksmith of some sort, likely a caravan dealer, and get a new lock put on the trunk. This would also invalidate the key that was stolen or lost.
5) Guards should protect the pockets of everyone in their group. If you have 2 guards following you, and a thief pickpockets one of them, fails, and is tagged as killable, then you and all your guards should have free reign to shoot him dead.