New player - How to get around Guards?

So I’m an old Skyrim veteran but I never got around to playing Oblivion until the remaster came out. I chose a Khajit under the moon sign so I could do a sneaky thief play style, however, it seems any time I commit a crime I get detected almost immediately, especially in the city’s. I believe I understand how the stealth works and I try to only commit crimes when there are no witnesses or enemies around but it seems like the guards are almost omnipresent.

So this is my question, how do you create and play a sneaky character in Oblivion and how does it compare to a sneaky character in Skyrim. Also since this is my first time any tips relating to the play style or for a first timer would be greatly appreciated!