Let's start with the nuance that indicates that while the mage is looking for a tavern (if there is one, although when playing as: Barbarians, Sylvan, or Necropolis, it can be bought in the Castle! :D), the thief will already have leveled up quite a bit! :D And it will be more difficult to catch him! :D :cool:
Better tell me what you level up in the thief besides stealth. Personally, I take either Chaos or Death. In the first case, you get a good mage, and in the second, poisoned weapons/arrows are very useful...