- Talk to Vex about heist jobs
- Head to the target and break into its strongbox
- Return the item to Vex
After joining the Thieves Guild, Vex will tell you that she handles all the burglary, shill, sweep and heist jobs. Ask her for a heist job and she will ask you to retrieve a single item from a store.
Every item is stored in a strongbox, which often has a lock that is difficult to pick. Open the box, steal the item and return to Vex for a leveled reward of gold.