This will only work until skills cost 1000 Septims or more per level, as you can’t pickpocket more than that from an NPC without immobilizing them with either Unrelenting Force, a reverse pickpocketed Paralysis Poison, or a Paralysis spell. Once the trainer is located, get them to teach you levels in the Pickpocket skill, then steal your money back from them.

Some can even be found in Windhelm and Riften. The best method for leveling the Pickpocket skill is to find a Pickpocket trainer, of which there are several.