[SixOfSpades]

In order of importance:
Traps: 100%. The Ring of Danger Sense is quite good, but the Planar Sphere is too difficult to do early.
Locks: 75% is enough to start with, but get the Ring of Lock Picks as soon as you can.
Hide in Shadows: about 60% in the beginning, depending on how much you want to scout/Backstab.
Move Silently: Don't put anything into it at the start, but about 5% per level should be enough to keep you Stealthed long enough to get the job done.
Pick Pockets: You'll be using Potions to augment this when you shoplift, so don't put anything into it at the start. Later on, try to get up to a natural 100%, and the Gloves of Pick Pocketing will almost ensure your safety when you're out working the crowd.
Set Traps: Every battle can be won without them, so it's safe to leave them on the back burner for a while. Go ahead and set your Traps anyway, the worst that can happen is your Thief will need a Cure Medium Wounds.
Detect Illusions: Leave this one for last, but it's anything but useless. At 100%, it's like your Thief has True Sight--I'm not kidding! Of course, it's only active when your Thief is Detecting Traps--go to the "Customize Script" page and check out the "Thief Adventurer" script.