I thought others could learn from what happened to me so here goes:

I tried sneaking into Yalen but the guards got suspicious and I had to resort to violence. As players of the original M&B hopefullly know, you are equipped with a staff and throwing knives when sneaking. Sadly I only had 2 knives left when I found the last guard and those were not sufficient to kill him and my staff could not reach him nor could his pike reach me since he was high up on a small ledge -- stalemate :-(. Soooo, here are the two solutions to this I found:

1) F12 >> quicksave then quitting and loading the game to find myself outside the town.
2) I found a crack between some houses where I managed to squeeze myself out (good thing I lost weight, hey) and could rejoin my army outside but then it was impossible to sneak in again.

I am pretty sure the second way is not doable in all towns.

Added a picture of the stuck guard. Sorry no pic of the small opening (barely more than a crack).