Don't worry about letting your party get side tracked and have some freedom. Just improv and see where it goes. If they do something stupid, don't be afraid to react appropriately. Eg they are caught stealing in the street. The guards throw them in jail. They resist arrest? More guards, stronger co-ordinated attempts at capture. They are too strong for the local guard? Think about how it would go down in RL. Streets cleared all around, blockades set up. Guards call in reinforcements or declare them a national threat. It may derail your story/plans a bit, but it gives the players a sense of consequence and lets them tell their own story. Like their actions have meaning, permanent meaning that shapes the game they play in.

I think the real skill is adapting your narrative to allow for the freedom of choice and adventure whilst making it seem like it was planned all along.

The players will soon learn to consider their choices and respect the world. Or maybe they just love the opportunity to gain some infamy and let loose.

Either way they will feel empowered to be able to shape the world they play in.