Wouldn't it be appropriate for a "thief saint" to insert itself into an existing chain of veneration, and skim off some of the magic?
Otherwise, I would expect a Rokari thief to worship outside of the church for professional purposes. Regular mainstream church membership would be optional, necessary if you have a cover identity in the city.
Few thieves' gangs appear to come with a well-balanced magical support. If you want something like that, the Finovan or Desemborth subcults of Orlanth probably will serve you best, although they restrict you to be a productive member of your community (and imply a host of dependents you care for with your thefts).
A heroband guardian with a few useful properties and a spectrum of ordinary magic from various sources (crafting magics, trading magics, entertaining magics for distractions, combat magics for hard times etc etc) seem to be the conventional way for gangs to operate. A failing sage/accountant or trader will be quite valuable for a gang of thugs when it comes to appraising and selling the booty. Any form of muscle helps for protection rackets. And a daytime job may offer opportunities for scouting out burglary targets...
There's also the chance to fall in with destructive powers when seeking magic for crimes. (Including Orlanth - pretty much everywhere outside Orlanthi regions - but also Krarsht or Thanatar.)
On the other hand, even a shining knight like King Ulianus III might be a saint for a group of aquisitive minds stressing how he plundered Safelster, or Bailifes the Hammer for his aquisition of Tanisor. I doubt there is a saint for tax collectors, but if there is, that would be a useful entity for thieves to worship, too...
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