Ask around town about a theives gulid, then go to the Imperial city docks during the night time, (at 12:00am) you should see a group of people standing around behind a house with torches.
Again you can buy lockpicks from Armond, I have one called the skeleton key, It dosen't break, lol.
I think you have to sucessfully pick the lock to get skill points. not really sure, when you get use to it picking locks becomes very easy.
You should beable to shoot the target as much as you want then retrive your arrows from it, I haven't had any of mine dissappear, where as when you shoot animals and people there is a chance you wont get your arrow back. I dont think it would increase any quicker if you bought better arrows.