I just multiclassed my thief into a thief/mage, but now I can't use my thieving skills. What gives? I thought they retained both.

I think you've 'dual-classed' your character instead of 'multi-classing' him/her - characters are either multi-classed from the start of the game or they're not. For you to be able to regain your thieving skills, your current level (ie. that of your mage class) must be higher than the level at which you 'dualled' your thief. Refer to your manual or the game screen itself for the details.