High Fash-Djinn

Note to add to this quest: As of June 23rd, 2017, carrying additional lamps no longer helps and in fact will prohibit any items from being pickpocketed. I found by placing all but one of the lamps in your bank (or destroying them) will allow the items to be found again.

There's no real trick to doing this quest. Basically once you get the quest, you just pickpocket everything. That's literally it. Doesn't matter what level you are or what zone you're in. If you can pick a pocket, there's a chance the items will drop. My rogue is 101 currently and I've gotten 3 items on the list so far. The drop rate is entirely random. There's no secret place where you'll get more, there's no special mob that has a higher chance. You'll either get your item or you won't. My advice is to simply not stress out about it. Pick every pocket you can while you're leveling and you'll eventually get all the pieces, along with a couple hundred thousand coins to spend as a bonus.

All of the items for this quest can be pick-pocketed in Suramar City. You will get duplicates, but they still give you Coins of Air.