You can choose to max out you HP every level with the mod... And I think the point to making your character a Rogue first is that initial burst of skill points you get as one from the start.
Its Rogue not Rouge. They're not always red. But anyway! Depends on whether I'm going a melee Rogue or a ranged Rogue. Usually I bring both. For races I prefer making them Human for the extra feat. For the Ranged Rogue I usually start off as Rogue on first level. I give him two levels of Ranger though to give both the Favored Enemy (Goblinoid) and Archery Combat Style. It allows to me to avoid wasting feats to give my Human Rogue the ability to equip Longbows. Getting Rapid Shot is just a bonus. After getting the two Ranger levels, he goes Rogue levels for the rest of the way to boost Sneak Attack's damage. For a melee Rogue though I prefer to start her off with five levels of Rogue to get her Sneak Attack damage to 3d6s. Afterwards I give her Monk levels for Flurry of Blows, the ability to equip Kamas and the AC bonuses. She goes Monk the rest of the way in order to further improve the AC bonuses, to the point she becomes nearly untouchable. In a way... I guess this isn't really building a Rogue, its building a Monk but you're still utilizing Sneak Attack =/ For both of them, an arcane caster is their best friend. Spells like Glitterdust, Greater Invisibility, Summon Monster, Invisibility Sphere are among the few that greatly support them. Careful with Invisibility Sphere though. If a caster casts a spell next to an enemy in the sphere while also in the sphere herself it'll trigger an AoO loop. Granted, you shouldn't be letting enemies get into the Sphere in the first place, but it can happen!