First, your character needs to be in-game for 48 hours. Second, your stealing skill must be 60. Third, you need 500 gold (700 more if you wish to buy a disguise kit). They typically don't have public guild halls, but sometimes have safe-houses, and members tend to gather at a single location in large towns, such as at a cornerclub, inn, or tavern. Typically, members are bound not to rob each other, kill anyone while thieving, or rob the poor. It's not by the Cage Ethon was in. It is in one of the dead end paths near the beginning of that level. When you hit the dead end at first, you will see only a normal stone wall, no indication of a hidden door. You have to go back with the magic key and then you will get the prompt to open the wall to head into the Thieves' Guild.
Summary
If you saved Paladin DeSelby back then during the quest, 'The Execution', you can head down to the prison and speak to her. She will tell you that Linder Kemm has some secrets, updating your journal.
If you freed Windego in the quest, 'Mercy is Power', you will learn that Lord Kemm secretly works for God-King, and is now the God-King's favorite chosen one.
At the city square in Arx, next to the 'Arx - City Square' waypoint, you will find an artist painting an art about the devastation in Arx. Cast Spirit Vision and you will see his father's spirit standing right next to him. Speak to his father and you will learn that Lord Kemm has a unique painting collection in his vault.
Before heading straight to Kemm's mansion though, you will need the painting. You can find the schoolhouse at co-ordinates X:410, Y:240 and speak to Trina to learn the location of the Thieves Guild. This is optional; you can simply just enter the sewers, and with enough wits spot that the wall is actually a hidden door, as shown in the picture below.
Upon entering the Thieves Guild, you will come face to face with a young girl, Big Tomorrah, who will set her 3 trolls loose upon you if you fail her speech check. Each troll is worth 38,800XP, and the kids will disappear permanently if you fail the speech check. However, in this route, you will be able to take the painting for free.
If you pass her speech check, the kids and the trolls will remain. Upon going close to the painting, your character will automatically remark that it's a unique painting. Unfortunately, speaking to Big Tomorrah and asking to buy the painting will result in you having to pass even more speech checks and paying 10,000 gold for it. As such, if on this route, it is better to simply steal the painting rather than paying 10,000 gold for it.
Either way, once you take the painting, you will be awarded 38,800XP. With the painting on hand, it is time to enter Kemm's vault.
Head to the west side of Arx, towards Kemm's Mansion. As you enter inside the mansion itself, you will gain 19,400 Exploration XP. Head to the west, speak to Cat the Appraiser, and pass the speech check. She'll tell you about some items she needs from Kemm's vault, and you'll immediately gain another 19,400XP. The quest, 'Old Means Gold' will be started, and should be done in conjunction with this quest.
Head outside to the gardens, and you'll find a locked lever cleverly hidden in the bushes at around co-ordinates X:145, Y:310. Unlock it and pull it, and the entrance to Lord Kemm's vault will be open. The picture below shows the location of the lever:
After you pull the lever, you can find the entrance to the vault in the picture below:
Head inside, and you will find several automatons named 'Lucian the Warbringer' patrolling around. You can sneak past the warbringers or attack them, but note that the warbringers are quite hardy and tough, so caution is advised when attacking them. Also, note that when their health is depleted, they simply become 'inactive' and not truly dead, requiring you to use source vampirism to kill them completely while they are in this inactive state. If you do not use source vampirism, they will regenerate back to full health and armor as soon as their inactive state expires. Each warbringer grants 80,850XP when killed, but there is currently a bug that only grants the XP if you are still in combat when you drain their source. For example, if you cast a spell and all 3 statues perish at the same time, combat will end and draining their source to kill them while out of combat will grant no XP.
In any case, move to the end of the vault as shown in the picture below (don't forget to pick up the various items Cat needs for the quest, 'Old Means Gold').
Here, cast Spirit Vision, and put (drop from inventory) the painting you acquired from the Thieves Guild in the frame. This will unlock the wall door, revealing a secret chamber.
Inside the chamber, you will find a chest and a painting named 'Responsibility'. Take the painting with you and loot the chest for a powerful unique armor for mages, 'Ruvola'. Now interact with a nice little book in the right bookself, as shown in the picture below, to open the wall door.
Behind the stone door, there is a hatch, which will lead you to the Shrine of the God-King. Head downstairs, speak to the God-King, then read the sign on the ground. It says 'Only God King knows the weight of Responsibility.'
Put the painting named Responsibility on the altar or near it, and this will reveal the hatch to Arhu's prison, as shown in the picture below.
Lord Arhu is imprisoned in this prison. As you approach him, you will immediately obtain 38,800XP. To free him, you will need to cast Spirit Vision and use source vampirism (in conversation) on those tormentors. Be prepared, however! The moment you release Arhu, there will be a big fight, and Lord Kemm will even join the fight against you. Make sure to complete all quests associated with Lord Kemm before freeing Arhu, such as 'The Last Stand of the Magisters' quest!
As shown in the picture above, when you are ready, drain all 3 spirits of their source. Note that you can also take the Swornbreaker from the statue.
Once Lord Arhu is freed, 2 Black Ring Defilers will immediately appear on the lower platform, while a Black Ring Painweaver and Fearmaiden will appear on the upper platform. Lord Kemm will also show up on the second turn, and you'll need to defeat him as well. Each Black Ring member killed will award 107,800XP, while killing Lord Kemm awards 299,700XP. Once Lord Kemm falls, the quest is complete, and you will earn 19,400XP.
Note that in this fight, Arhu is not invulnerable and CAN be killed! To keep Arhu alive, you may want to teleport him to a safe corner, and avoid crowding around him so that Lord Kemm won't use his whirlwind attack on your party and hit Arhu as well when he appears. If he dies, you can always use Spirit Vision to speak to him and advance the quests, 'A Craftsman of Dreams and Nightmares', and 'Finding Lord Arhu' though. You will earn 53,900XP and 96,950XP for a total of 150,850XP this way, for updating these quests (note that the XP is not related to this quest, but is listed here for completion sake, since speaking to Arhu is the next obvious step).
If he is alive, speak to him and the quests will advance in the same way as above, with one difference - you will be rewarded with a choice of Divine-quality loot at the end.