Train again, and repeat five times, stealing back every time.
(And you will gain a level in pickpocket).
Speak with Farkas in there and train Heavy Armour once.
I then went to Jorvasskar (the home of the Companions).
I stole enough to get my pickpocketing up to about 20.
I had about 15~ pickpocket if I remember correctly.
I went to the Stone and took Thief (changing from Warrior).
Starting this I was about level 10 (now level 27 from an hour grinding). What you are trying to do below is get 100 pickpocket, so you can steal back any gold from training. But I wanted Conditioning also for my Warrior, and I also wanted to +100 weight carrier in Pickpocket perk. Whether or not this is cheating, I don't know.