From Dungeons of Dredmor Wiki

The Rogue is one of the three Heroic Archetypes in the game, alongside the Warrior and the Wizard

You can gain Rogue levels by increasing skills that correspond to the Rogue archetype.

For example, spending a skill point on the Burglary skill will increase your Rogue level by one.

List of Rogue Skills: Archery, Archaeology, Perception, Burglary, Thrown Weapons, Tinkering, Fungal Arts, Assassination, Artful Dodger

Alchemy and Smithing used to be Rogue skills, but have been moved to Wizard and Warrior, respectively, in 1.06.