You will need the following:

1. 20 infinite lockpicks or all spells for it.
2. A "just in case something goes wrong weapon" (needs 7 infinite attack damage).
3. Be a journeyman in sneak (50 sneak).

What to do:

1. For training go to a place like Anvil.
2. Find a shop you like (during the day walk in and look, do not steal anything).
3. Wait or sleep til midnight (12am).
4. Now pick your way in when no one is looking. Warning: If somewone is still in there they will be going to bed, so fast bend down (sneak).
5. Stay in sneak and grab what you want.
6. If you did this right there should be no guards inside or chasing you when you get out.
7. Now go to the Imperal City and do the same, but it will be 10 times as hard!