After waking up at Theresa's mill (Story Related), you can talk to Pashek the mill owner and he gives you a quest to fetch a copper ring from a dead man.
This quest is simple enough, but after not finding it on the corpse, return to Pashek and he will give you some lockpicks and teach you how to open a lock.
Now this is key. Take your time the first few tries and you'll get the hang of it. As Pasheks chest constantly re-locks (you do have to open and close it every time however) and nobody will ever see you, it is a great place to spam level lockpicking (I got mine to nine before I went out.)
Get the Lasting lockpicks and deft grip perks at least (Min. level 6) then go to Rattay (the city up the hill nearby) at night. Break into the weapon smiths and into his downstairs store room. Just picking up the items is enough for them to count. On average his weapons are worth 500 each and there are dozens of them all locked away.
Steal whatever you need. The moment you have taken (not sold) over 30,000 worth of items, your achievement will pop.
Hope this helps,
Let's keep cheevin' together!
Note: It has been confirmed that stealing an item, putting it back and stealing it again will count towards the achievement.