You gain 3.8 Thieving experience for lockpicking the trapdoor to enter.
If you are caught pickpocketing too many times you can be thrown into the jail cell in the south eastern part of the dungeon or teleported out of the area. If you are thrown into the jail cell you gain 3.8 Thieving experience when you open the cell door to free yourself.
Wearing H.A.M. robes will give you a better success rate when pickpocketing H.A.M. followers.
Store Rooms Info:
Once you finish the Death to the Dorgeshuun Quest you can go through the trapdoor south of the stage area and pickpocket HAM Guards to get keys: Bronze Key Iron Key Silver Key Steel Key
These keys are then used to open the chests in the nearby store rooms, you must lockpick the doors to enter (the south western room also has cracks you can squeeze through to get in). The guards will attack if they see you lockpicking the doors or squeezing through the cracks. The chests give Coins, cut gems (Sapphire, Emerald, Ruby), and jewelry from gold to diamond. (See H.A.M. Dungeon Chest Rewards for a list of possible rewards for each chests.)