Thief pets come with Stealing/Lockpicking and Stealth, however none of these skills can be used via any pet interface, to use these three skills you must possess the pet.
Possession is a skill that Casters who take the Necromancer route will learn naturally and can raise to the point where they can possess any pet. If you do not know the skill naturally you have some other options such as equipping items that have a bonus to possession skill on them will also allow you to possess pets as long as the combined bonus exceeds the pets level * 5. Also there is a Bought Extra called the Skull of Corruption which will let you possess your pets no skill required.
After possessing your pet stealing/stealth and lockpicking can be used directly, because possessing basically allows you to play the game as if you were your pet. Until you logout or click the button at the top of the screen to return to your body.