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In order to do the Thieves Underground quests in Caladon, you'll first have to join the Thieves Underground in Tarant. Then things will work about the same: a thief (#1) will tell you about the available jobs, and the fence (inside the Sobbing Onion, #2) will accept the items you steal.
You can also steal a couple items for Adam Maxwell (#3) -- a book from Lillian Misk (#4) and a necklace from the Museum of Caladon (#5) -- but those quests are handled in the Caladon section.
Here are the objects:
a) Caladon Crusading Chain (Caladon armory). It's in a chest in the lower level. However, the armor is pretty good, so you might want to steal it for yourself. But if you turn it in you'll receive 2200 experience and 400 gold.
b) Chest of Gold (shipwreck). Just follow the coast south of the city to find the shipwreck. The chest is on the ship itself rather than in any of the containers scattered nearby. You'll receive 1000 experience and 700 gold for turning it in.
c) File on Ryan Marshall (police headquarters). It's in a locked file cabinet. If you're going to kill all the policemen to get it, then it's best to wait until after you've solved the Whytechurch murders. When you turn in the file you'll receive 3100 experience and 300 gold.
d) Necklace (Mushroom Inn). The necklace (called an amulet) is in a locked chest in room 3. If you identify it you'll see it come up as a "dark helm," but it's not. When you turn it in you'll receive 1500 experience and 250 gold.
e) Ryan Sanders' Pocket Watch (Sobbing Onion). Sanders is carrying the pocket watch. Be careful with this one. Sanders can give you a quest, and one of the patrons at the bar is the Prowling Master, so it's best not to kill Sanders for the watch. The watch is worth 1500 experience and 300 gold.
f) Staff of Restoration (Sanders Residence). It's in a locked chest in the basement. Sanders won't care if you come in and pick the lock to the trapdoor to the basement. Also, you don't need to identify the staff to turn it in. When you do turn it in you'll receive 2800 experience and 500 gold.
g) Tarant Postal Bag (warehouse). It's in a locked crate on the western side of the warehouse. It's worth 2000 experience and 350 gold.