The same way as with all skills: Either train yourself or pay for training. Of course you can also try fortifying your skill...
And you can use a couple of tricks. Try to make all people in the room face away from you, for example, as it will make stealing a lot easier!
Good luck :ok:

I´ll check this out again. Hope it will stick me to the game again...

Thanks for your help..

You don't actualy need to to steal the key! You have to boost that guy's disposition a little and then talk to him about it and give him some money when he asks you!