Be sure to buy an adequate number of light sources, either tag bolts or flares to flush out a thief when he's hiding in the shadows.
When you hear the thieves have completed their main objectives, head straight for the exit and try to prevent the thieves from
escaping.
The guards have to prevent the thieves from achieving their objectives, which are generally to steal something and escape.
Learn the maps to find the loot the thieves are after and guard it. Place caltrops and mines in key doorways to prevent the thieves
from getting in. Be careful not to step on your mines, or those of your team-mates, whenever you place some mines, use the
whisper (default key Y) to tell your team-mates where they are. 
Items - all the items available for the guards.