Somewhere behind the stables and wall there is a woman that will give you the option of teleporting to the thieves guild, after teleporting simply head to the thieves guildmaster and become a thief( I haven't played SRO in quite awhile so I have forgotten most of the names and such, also I have never been a European thief so I am unaware of locations of European thieves job masters. )
When you kill a neutral player or if you kill another player while he/she has a job item on you will not loose exp/de-level but you will gain murder status ( this only applies if you kill a neutral player that does not have assault status or murder status and if you kill a player while with a job item on and you do not, also keep in mind that a thief cannot attack\kill a merchant if they are on a one star trade but a merchant over level 40 can be attacked nomatter how many stars there trade may be, also remember that thieves cannot kill another thief without receiving murder status. )
You do not always loose a level when you die but do loose exp and sometimes items in your inventory (note the reason you loose a level is do you exp loss), under murder status these chances are greater I believe (possibly not). Under job status you will only loose around 5000-6000 exp when you die (still a chance of loosing items in your inventory) but 5k exp loss isn't all to much in later levels compared to a level 30 loosing 100k+ exp while not having a job item on. When you have a cape on you do not loose exp\items if killed by another player with another color of cape and also note that in some events exp/item loss is also disabled.
Magic ability I'm guessing refers to skills/masteries, to get them you must level up your masteries and level up/learn the respective skill you want.
Alchemy can be a expensive or profitable process but still be risky and a game of chance, it would take quite awhile to explain and describe alchemy in the game completely but the basics are for destroying items and such to get elements to sell and/or use, to transform tablets into stones ( Attribute stones can enchant items so the cause extra damage and/or raise defenses and stats. ), Also use elixir's to enchant items to make them stronger ( Using elixir's can be a risky and expensive process so try to avoid using elixirs until you can afford it. )
When you become a thief there are multiple strategies for doing the job, yet again to explain them would take a lot of time and effort I would Suggest going to the site listed below to search for guides on thieving, as for being found the worst thing that could happen is that you would die ( If you have a transport animal with you that's carrying cargo you would loose the cargo. ) .
To raise your skills/masteries you must go you skill menu and level up the respective skills.
For guides, advice and other questions I would suggest going to
Silkroad Forums (
http://www.silkroadforums.com/ if link isn't working) because this section of onrpg isn't a very active forum.
Remember to stay bot/cheat free on SRO 