with who? there are about 5 girls you can sneak in with after spying on. Midnight, the rabbit hero, the 2 on either side of the screen when looking at the game page on this website, and maybe one other. either way, once you go to any of them to spy on at night, the option will pop up besides head back, of course if your stealth isn't high enough they wake up, at which point if they don't like you enough they kick you out and you lose affection.
stealth is upgraded by just leaving after peeping on them in the shower, or a big boost to the stat from purchasing the boots from hatsume. I assume that sneaking into the rooms themselves doesn't seem to raise stealth as there is no message after leaving from them, as opposed to the message of stealth increased when choosing to leave after seeing them in the shower.