I have the rabbit in baldurs gate EE but I've never managed to get it to steal anything, can you use master thievery or anything on them?

It wouldn't do you any good even if you could. The rabbit's pickpocket skill is only 20 and a potion of master thievery only raises PP by 40%, so it wouldn't even go to 30. The rabbit's best skill is detecting traps (40). The best pickpocket, familiar-wise, is the ferret.

Because it can ferret out costly items, no doubt.

The only way I can think of is spell Luck, but the bonus is measly 5%.

I'm fairly sure that's not how it works. When the description says it raises the relevant skills by 40% it means 40 percentage points, so a character with a 20% Pick Pocket skill would have it raised to 60%, not 28%. Though that's academic in this case if familiars can't drink potions anyway.