The pickpocketing volunteers can be found in the Thieves' Guild. They award blue hankies. The amount of experience depends on your level. For example: At level 72 Thieving, you receive 62 experience per pickpocket, and at 73 Thieving you receive 62.5 experience per pickpocket. If the player fails to pickpocket the volunteer, they are dealt 1 damage.
Pickpocketing volunteers are an excellent way to earn fast experience without worrying about the need of food as only 1 damage is dealt if you are caught.