Yes, the DB visits you in your sleep, even if you get in jail. However, they will not visit you during your 'jail time' sleep-event. Only if you go to somewhere more suitable, like the beds in an inn or in your other guilds (mage, fighter).
I should know, since I've been caught killing a stable-girl or two, and been put into prison a few times.
So, basically:
*1) You must kill an
innocent person.
*2) That person has to be killed out of
cold murder/for no good reason, not just because you were defending yourself. (You have to be the one hitting the person first.) And if that person's threatening you, and you kill him/her, it does
not count!
*3) If that person's a 'bad guy' in a quest, he/she's not your 'innocent' person.
*4) Important quest people (usually people with a crown symbol instead of the regular talk symbol) just become unconsious(sp?). They don't die.
*5) Try to kill people who are
not in your guild. Kill unimportant people, such as a farmer or horse-trainer... Anyone except guild members.
*6) Try not to kill beggars if you don't want to be kicked out of the Thieves guild... As tempting as it is.
Hope this helps!