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The value of the items you steal determines your skill gains. It also makes them harder to steal, but you can put the odds in your favour somewhat by enchanting your equipment. No matter how good you get, there's always a 10% chance of failure.
Note that looking in an NPC's inventory is not a crime.
Regarding horses, you can't really "make them stay". Even if you own one, it'll follow you around (whenever you fast travel), messing up your stealth and generally getting in the way. Personally I avoid them like the plague.
Also when you do it ... late at night when you are in shadow ... and even better npc who are sleeping are easier targets.
there is also a beggar in Windhelm who can train you for a mighty fee!
As for penalties even if you don't get caught the Npc who merely suspects that you may have stolen from them will hire trhugs to take it out of your hide!
Also take advantage of the trainers at low levels
and I have killed people and then stole the stuff lying around and still got thugs after me
So the idea is to build up all the skills you are going to need for your character!
There won't be any more new ones.
If forges allow you to make housing materials, then you've got Hearthfire up and running. If you have that active then you just as likely have the other two as well.
is there an alternative to a horse to travel quickly to places you have never been? and are there any penalties to fast travel?
A good way to move at a fast pace is to invest time training restoration - there's a perk that makes healing spells replenish stamina in addition to health, enabling you to sprint often with only small pauses. Increasing your stamina via enchantments likewise allows you to move faster for longer.
Joining the Companions gives you access to a speedy werewolf form with a huge amount of stamina. Unfortunately, you can only enter it once a day (until you find a certain ring), while you're in it you can't do much except slaughter things with your claws, and you can't turn back to your human form on demand.
If you have the Dawnguard DLC, you can eventually gain access to a summonable horse which pretty much does away with all the negatives of having a regular one.
Although you can't fight or gather items while on horseback, horses do have one big bonus to on-foot travel - they can run up pretty much any slope.
No penalties other than trying to find a fence to sell them to. If they're gem stones you can smith them into jewellery that removes the "stolen" tag from them.