If you wish to steal an item, but there are too many people around, highlight the item you wish to steal and click the Right Stick in.

This lets you carry the item where you want (barring zoning). So simply walk away from the crowd, or into another room, then click the left stick to go into sneak mode. Simply maneuver until you are "Hidden", and then you can steal.

One note: if stealing from shops, make sure they are open, otherwise the shop owners tend to follow you around and tell you to leave!