The most important thing to remember when going out and killing things for xp is this: fight like a thief, not a warrior. Just standing there, hitting things and grunting occasionally is not making full use of your potential. You will eventually be tough enough to do this, but your primaries do not lean in this direction. Thieves have some very effective fighting commands at their disposal, use these to your advantage. The most important of these are:
The use of filch is self explanatory, steal a target's weapon. However be carefull as some NPC's have very respectable unarmed skills.
Backstab will deal much more damage to a target then normal rounds and is the best way of starting a fight. You can follow this with an abscond, and the target will often walk into your set up ambush, dealing them devestating amounts of damage. This backstab --> abscond --> ambush combination can allow you to kill things far tougher then yourself.
However, especially at lower levels of dodge (which thieves do not have as a primary), you may not be able to pull off your abscond fast enough to avoid taking (deadly) damage. In this case there is one other trick which is very effective and makes use of the 'snatch' command.
When you snatch something, the target always notices you and attacks you. So a particularly useful trick is to snatch something (usually it's weapon) from the npc, then set up an ambush. Because the NPC is fighting you (it wants it's stuff back) it will wonder into your ambush unsuspectingly.
An example: You want to kill a mercenary or soldier in KLK, but in an out and out fight you will lose and your dodge isn't yet good enough to abscond from it. Queue these commands:
If you fail the snatch, the npc will still attack you but you will not leave the room, so to ambush it you will have to leave the room very quickly. The best thing to do is queue the ambush right after the snatch anyway. If you succede you will set up an ambush into which the NPC will walk, but if you fail you will probably set up an ambush in the same room fast enough so that you are hidden and the NPC cannot attack. You can then move one room (without sneaking) and set up a quick ambush, into which the agressive NPC will walk. Of course, if you fail the snatch and then lag too much to ambush soon enough then you're screwed, but hey, you have to take risks ;)
Also, it is worth remembering that if you wimpy from a fight, you automatically 'stop' fighting the NPC. This means that if you wimpy then immediately set up an ambush, you will be able to ambush the NPC (You can not ambush things that you count as in combat with). Having just wimpied, you will be low on hp and hence this is a risk, but you can always run away if your ambush doesn't kill the NPC outright.
You may be a purist and say that thieves shouldn't fight, in which case good luck to you, but killing for xp is the most efficient and fun way of getting xp, and (smart) thieves can do it just as well as anyone else :)
Enjoy :)