(the screenshots referred to below are broken)
Hitching a ride
Refer to the screenshot. You start with the Spy and Thief near point (A). First, draw out Soldier #1 with cigarettes (throw them somewhere to the south of point (A)) and knock him out. Get the Spy to wear his uniform. Stash his body at (A). NOTE: For all movements, get the Thief to crawl, and the Spy to walk normally. Don't make the Thief stand up where he might be seen and don't make the Spy run. Both these actions are likely to cause alarm (and mission failure).
Now, get the Spy to climb up the tower and distract Soldier #3. Get the Thief to draw out Soldier #2 and knock him out (cigarettes placed at point (B) will do the trick nicely). Stash his body at point (A). The Spy should now come down and distract Guy #4. Once again, the Thief should throw cigarettes at point (B), which will draw Soldier #3 all the way like a moth to fire. Wash, rinse, repeat (i.e., knock him out and hide his body at (A) as well).
If you have been distracting Soldier #4 from an appropriate angle, you can now get the Thief to crawl up right behind him (see the screenshot for an example). Now, just wait for the truck to stop nearby. Get the Thief to board the truck first. Now you can stop distracting Soldier #4 and get the Spy to board as well. Ride on!
Entering the station
Once the truck comes to a stop, soldiers in raincoats (four of them) will start unloading the art goods. When the fourth guy takes his first load off the truck, it's time to get out. Immediately, press '6' to select the Thief, press 'X' to exit and just as quickly press 'Space' to make him lie down. Quick! Move him to point (C) (before the soldiers return for their next load).
Once you have got the Thief moving, get the Spy out and crawl him to point (D) ('5', 'X' and 'Space', as before). Stop a few steps behind the officer (#5) and wait. Watch Soldier #6's field of view. He'll stand there for some time, go to the end of the ledge (his field of view will sweep across point (C), but relax, your Thief won't be noticed). The moment Soldier #6 turns around to go back to the other side of his building (by climbing up a ladder), kill the officer with your Spy's hypodermic syringe. Quickly wear his uniform, stand up and carry the body to point (C). DON'T DROP THE BODY YET.
Wait for the unloading to finish. When the truck leaves the gates, the other officer (#7) will move and turn around to face the gate (see the screenshot). At this same time, Soldier #6 is going away too. Now is your chance. Order your men to go from (C) to (E) (and enter the door). You should make it before #6 and #7 turn around. If you can't seem to do this successfully, take it slowly. Find an opportune moment when both #6 and #7 are looking away and get the Spy through. Afterwards, getting the Thief through will be easier (because the Thief is lying down, he can slip right by #6; you just have to make sure that #7 is not watching).
Once inside, drop the body and go to the next room, and enter the hiding place. It's in a corner (rotate the game camera to see it). Done! Now, that wasn't too difficult, was it?