Thief skills sometimes gives players and DM's some heartburn because the question inevitably arises: What if another character wants to sneak or climb?
The way I have generally handled these is to examine whether the task could be done by any person or not.
A short, easy climb or sneaking past a sleeping ogre while not wearing metal armour are both "everyman" tasks. In this case, set whatever chance of success you feel is appropriate and let the players roll.
The thief gets the benefit that he can test against his thief skill first, and if he succeeds on that, he can ignore most restrictions that would apply to other characters (he can sneak faster or while carrying his adventuring gear, he'll scale the wall quicker and without rope etc).
Should he fail, he can fall back on the same chance you gave the remaining characters, but now he is bound by their restrictions as well.
If the task is so difficult a normal man couldn't do it, then the thief can roll against his ability, and all is well. In such a case, a failed roll represents a failure in the action of course.
I tend to treat thief skills as somewhat mystical though not magical. A thief can climb a little bit better than a real life person, he can sneak a little quieter than a real life person and so forth. It helps emphasize the class and make it stand out more.
How do you handle thieves in your games? Drop a comment and let us know!