You have to let the thief steal the egg, or you can just give it to him. He has the fine skills needed to open the egg without breaking the contents.
Then, of course, when you kill him in the Treasure Room, you can take both the egg and the bird.
And no, I didn't figure it out myself. I think someone told me the answer to that one.
AH! Of course! I think he was described as having “nimble fingers” or some such thing... Thanks!