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[Danceofmasks]

Well, the main problem with multiclassing is MAD.
The solution to MAD is to pick a race that is good for both classes and invest heavily in primary stats.

If I were to build a rogue/warlock, I'd go with 16, 16, 13, 11, 10, 8.
Pick halfling, and allocate stats accordingly.
Hmm ...
Say stats of Str 13, Dex 18, Con 11, Int 8, Wis 10, Cha 18

Take shield proficiency (light) at level 2 (and shield specialization at paragon), and away you go.