Personally, I recommend the baths.
The only difference is in the later cutscene: Helledryn is wearing either a hooded suit or metal armour.
The entrance is being guarded by one goon (or two, but the second will soon leave).
Additionally, while being inside you will already be in the attic.
Snatch it quickly and go back to the top by jumping from the top of a cabinet.
Now go back to Helledryn.
You also have the ability to collect the clothing from the embassy.
There, through a small window above the door, you will get inside.
Immediately after you take the uniform you’ve got the option to jump back to the attic.
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