The best way to train Thieving up to level 25+ is by pickpocketing the men inside the house near Lumbridge. They are the best way to train because you can trap them in the corner and then pickpocket spam them. The experience from then on depends on how quickly you can spam the command.
http://img99.imageshack.us/my.php?image=houseli1.png
The house circled above is where the men are located. If you don't see anybody in the house, kill the men walking around outside and they will spawn inside of the house. They eventually walk into the corner near the bed, so just wait for that moment to start pickpocketing them.

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