If you are caught lugging out the fancy cuirass you spotted earlier then you will simply load up and try again.
What is the first thing you do? You bring up the pause menu and you save the game, of course. You are crouched near the blacksmith’s, kitted out in thief’s gear, lockpick at the ready. Picture the scene: it is pitch black in Skyrim, the aurora borealis is swirling among the stars, the gods watching you from their home among the constellations.