I found this pretty easy to do with a follower, such as Lydia. Ask her to take something expensive, but light weight (ie, a ring or necklace). Then steal it back from her. In my experience, if I failed I didn't get a bounty, but your mileage may vary. (Lydia tended to just say something to the effect of "I saw you, but I'll let it go... this time")
If you fail, I think you have to wait 2 days before you can steal again, which means that quicksaving/loading is probably faster.
You can also level this easily with skill trainers, as money paid to them for skill training ends up in their inventory. Pay them to rank up a skill, and then pickpocket the gold back. Some skill trainers are also followers (the Companions come to mind immediately), so you can do a little of both if you so desire.
The only downsides to this is that you can only train 5 times per level, and that it's relatively easy to end up with the trainer carrying too much gold for you to feasibly pickpocket. If they're following you, though, you can always take the money back out of their inventory if you get stuck in this situation.
Keep in mind that skill gains are based on the value of the item, whereas the difficulty is a combination of weight and value. Therefore, light but expensive things provide the best balance of skill gain to risk.