Eventually, you'll come across guards carrying items on their belts, for example throwing knives and potions. They are not very common, however, but the items tend to shimmer, so you can't miss them.
What you need to do is find a guard with something on his belt. Save the game. Now sneak up to the guard and when you get close press
to remove the merchandise. Wait a couple of secs. Now reload the saved game. Rinse and repeat.