Oblivion best create a cl?

I just started the game and i chose to be a kajiit i think. Whatever the lion-looking guy is. And i started the game wanting to be a thief. i just took the pilgrim cl and moved on. but now as i play a little bit, i realize that i need to do a create-a-cl character that gives me a good balance between warrior and a thief because i got my *** handed to me by an imp while trying to level up. What is the best way to approach create a cl to come out a great pickpocket and a great fighter? Or at least have potential in those areas like leveling up quicker and stuff. Did i choose the right race? im not impatient, i just want to spend my 200 hours the right way.