I would advise against turning in bandit sashes as a Dark elf, because doing so lowers faction with Bloodsabers which is the faction that the Qeynos sewers are on. So if you are currently able to bank and sell in the "aqueducts" / sewer, you may not be able to do so after turning in sashes.
http://wiki.project1999.com/Bandit_Sashes
http://wiki.project1999.com/Bloodsabers
http://wiki.project1999.com/Qeynos_Aqueducts
Edit: You will be KoS to the quest giver as he is on the paladin faction. While it is possible to raise your faction to the point of being able to turn in the sashes, by the time you do that you will probably be high enough level that the sashes wont be that good anymore for XP. There are some tricks that might be used to do it earlier, perhaps charm / puppet string / Wolf form for example, but unless you are doing it for role playing purposes, you might want to preserve your faction with bloodsabers. =)