The first order of business in shoplifting is to figure out what's to be shoplifted - in this case, an ebony battle axe, which should make a pretty penny.
Pick up the object as if you were going to buy it, then click on the "Steal" button.
The final step is to listen to the chorus of "Halt!"s from the guards when you're inevitably caught. That's the main problem here, as the chance of a successful theft with anything at all useful is slim to none.
Refusing to surrender results in summary execution (well, okay, just dying very quickly from the guards' attacks, so let's try this again...
Oooh, that'll do.
They don't mess around in the Iliac Bay. I don't
think a court can slap the death penalty on you in Daggerfall (the guards certainly can...), so this is about as bad as it gets.
Let's try lying this time.
...Darn. Good thing we've already done the necessary quests here. And we're at one hit point again.
Ah, well, time to take our thieving little ways elsewhere. It's nearly night here, so there'll be plenty of places to steal from.
The nice, "Incense and soft music" weapons store won't be one of them.
This house will be, though, not that there turns out to be anything in it.
Said house is the only place, in all that time, we managed to actually break into. Lovely, so long and nothing to show for it. As noted, one can use the "Open" spell instead, but I find that a little cheap.
Waking up early, however, gives another chance, this time opening up an armour store. There doesn't turn out to be any great daedric armour, however...
So that was theft. Let's try bank fraud. Attempting to ask for a ridiculous amount only tells us how much we actually can borrow.
They don't give you much time, certainly.
Since there is no possible way to actually carry that much gold, we have to take it out in a Letter of Credit. Said letters happen to have a 1% fee, though...
...limiting how much we actually get from it that much more.
I think they found out about the armour store. Time to hop on the horse and get out of here! We pretty much can't set foot here again either, because, well, we just robbed the bank. The main thing about the bank robbery that makes it cheap, though, is a) you can get huge amounts, b) it's foolproof when it happens, the only consequence being locking you out of a kingdom you weren't likely to ever go to anyway and c) there are a LOT of kingdoms, meaning this can be repeated many times over.
Dropping off the cash in a nearby kingdom (I was only doing it to show you how it's done, unless you all actually want me to keep the cash, I won't)...
And selling off everything from the one armour store we succeeded in robbing, which isn't much.