Even though Balancing isn't a particularly useful skill for thieves, in most cases, there are a surprising amount of ways to tm this skill, both in the guild proper, and the surrounding areas.
Ankh-Morpork Thieves Guild
There are at least two methods to tm balancing within the guild. The first, more obvious one, is to slide down the banister in the Foyer, from the first floor to ground.
The second, little known method, is to not fall off the kitchen roof. Getting to the kitchen roof is a fairly simple affair, easily done by those observant to their surroundings, but staying on it is another matter.
Falling off the roof will result in you landing in the Guild gardens and will do a minor amount of damage.
The sewers surrounding the guild in Sto Lat are very much a prime ground to tm balancing, and is one of the few places where balancing is actually a very useful skill, as it will reduce the frustration required to get to the guild itself.
Yet another sewer in Bes Pelargic can be used to train balancing. The consequences for failing a check in these sewers are less involved than in Sto Lat, but still pretty embarrassing.
The sewers themselves can be found in the Pong Ping district.
The tunnels leading to the thieves' guild in Ephebe (western side of the city near the bank) are good for Tms