To start this quest, ask Diego who can teach you. Diego will mention Fingers. If you don't do this, Fingers will "not see how" he could help you. Fingers is a thief. He wants you to learn a thief's skill. He can train your Pickpocketing and Lockpicking skills. For Sneaking he will refer you to the expert Cavalorn. His hut is in the canyon west of the old camp. When you are standing outside of the camp in front of the main gate, follow the camp wall on the right for a bit, then start walking away from the camp. You'll run into some Goblins.
Fingers will vote for you if you learned level 1 lockpicking from him and/or sneaking from Cavalorn, either is sufficient. Optionally you can learn pickpocketing, but this requires you to learn sneaking from Cavalorn first. Learning how to pick pockets is not recommended.