Yes, you can use Sly Deal to steal the wildcard.
Steal a property card or a property wild card from any other player.
You then add it to your property collection (as the only card in your property collection).
The only issues that might lead to a negative answer are:
- can a wildcard be played alone?
- what is your "property collection"? Do you start with a collection of zero, or does the collection not exist when you have no cards?
If either of these are answered in the negative ("no collection" being the negative in the second case), then these might be obstacles to stealing a wildcard with Sly Deal if you have no other cards in your collection.
Hasbro has answered that first one in the affirmative (despite the language in the rulebook that can easily be read to the contrary). See below for that.
As for the second, well, since the regular play of cards is to your property collection, if the answer here were negative, you could never play any cards. So clearly the collection is all the cards (zero or more) that you have collected.
Back to the first point, see answers as quoted on this thread on BGG:
The "Property Wild Card" (the ones that count as any color property):
Can this card be played alone (i.e.: as a property in a color group the player doesn't already have one of)?
Hasbro Games: Yes.
As the only card in the collection, it wouldn't collect rent (having no text of its own to declare the rent to be charged).
That's on the FAQ, as quoted in this thread on BGG:
Q: Can I put a multicoloured (10-colour) property wildcard down on its own to start creating a set?
A: Yes, you can. But you can’t charge rent on it until you’ve added another card to it, because it has no value on its own. It would make more sense to add it on to an existing Property card or set of cards.
So, with nothing preventing you from following the instructions on Sly Deal, you can steal the wildcard.