I like to look at it from my char's point of view. Would I really want to ally with a small guild and make the Shadow Thieves, who span all of Amn and have contacts up the wazoo, my enemy?
Spoiler that might help you decide
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You end up fighting Bhodi anyway. If you side with the Shadow Thieves they'll help you, but you can't avoid conflict with her and her guild near the end of the game.
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