The Cooper gang, being as popular as they are, have obviously garnered a lot of attention. Positive and negative, of course. Some copy cat gangs have popped up, trying to emulate the trio. One infiltrator, one powerhouse, and one brains. Recently, the Cooper Gang has been inactive, leaving the copy cats to reign. You can control a member of one of these copy cat gangs, and plot out how to overpower other criminals. Or, maybe you could find out what's going on with the Cooper Gang. Either way, you're in control for now.
You give your character's name, species, and backstory. Additionally, you choose their role. If you decide a gang should have more than three members, then fill out the roles additional members fill out in Sly 3. Furthermore, you can choose one extra skill for your character to be able to do. Infiltrators are normally acrobatic, but you can make an acrobatic thief that has enhanced hearing, for example.
As a thief, you're not a friend of the law. You need to make sure you stay hidden, and try not to get caught by them. If a teammate gets captured, gangs are encouraged to help them out. They don't necessarily have to help them.
You may encounter other criminals. They usually aren't on your side. If you encounter other criminals, you may have to fight them off. Be careful you don't get overpowered.
Take control of your character. You choose their action. Type in the action you want to perform, then wait for the host, me, to respond. If you're gathering recon, the host will provide information. If you're sneaking, the host will control the guards. If you're attacking, then the host will test whether or not your attack lands and whether or not the opponent successfully attacks you.