You can choose either and end up in the same spot in the game. Most people agree that going with the thieves is the 'good' thing to do and the Vampires the 'evil' thing. So if you are really role-playing you could use that as a guide. Really it is your choice, but remember
thieves side = fight vampires
vampires side = fight thieves
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Never try to teach a pig to sing; it wastes your time and it annoys the pig