A SATURDAY afternoon in Edinburgh and the subject today is shoplifting. Stephen, I ask the actor sitting in front of me, what was the last thing you stole? Stephen Graham, Liverpudlian, star of This is England, Pirates of the Caribbean and Boardwalk Empire, is ready for confession. "A pair of gloves when I was a kid. A pair of leather gloves when I was about 16. And I got nicked. My mate's ma was really great. I gave her name and she helped me out and my ma never knew about it. Sorry ma."

Beside him his director Michael Lennox is thinking hard too. "Last time I've ever nicked anything? I don't think I have. Not that I can recall."

"Good moral character," suggests Graham. He can't say the same. He has more offences to take into account. "Do hotel pillows count? I'll be honest. I've nicked one. Spoons as well. I've got a little thing for spoons."

"I've taken glasses from a pub," Lennox finally admits. "Is that stealing? Okay, I stole knowingly and willingly. And I'll steal again."

There is a reason for this police interrogation. A new film directed by Lennox and starring Graham and Game of Thrones star Conleth Hill. A Patch of Fog is a twisty stalker movie set in Belfast in which Hill plays a novelist with a penchant for pinching (there you go) and Graham is a security guard who wants to be his best friend.

Lennox – whose short Boogaloo and Graham was Oscar-nominated – is in town with Graham for its UK premiere at the Edinburgh International Film Festival. Lennox is 31, tall, balding and laconic. Beside him Graham is a battery running at 100 per cent charge. Through our short time together they joke and josh with each other, cheer each other's answers and even indulge in a spot of shop talk. (In the middle of the conversation, apropos of nothing, Graham turns to Lennox and asks "Will my speech be impaired if I've been shot in the head?" This presumably relates to some future project.)

There is a mutual admiration society at work here. Graham says he wanted to make the movie A Patch of Fog after seeing Boogaloo and Graham. "He just struck me as someone I really wanted to work with. And when I spoke to him on the phone you just knew it was someone who was really hungry for knowledge of his craft. And I think straightaway we were laughing our heads off on the first phone call which is a good sign. You know it's going to be fun."

As for Lennox he was making his film debut with two hugely experienced actors. No pressure. "Stephen and Conleth are two of the finest British actors but they made me feel at ease. Of course you're aware that you're the least experienced person in the room. But it was a collaboration."

The film is a noirish psychodrama that uses its Belfast setting adroitly. What is fascinating, I say as a child of the Troubles myself, is that it doesn't feel any need to bring up Northern Ireland's recent history. "Isn't that so refreshing though," suggests Graham. "We have millions of stories to tell. There have been a lot of versions of that story from both side. This is a story that could have been set anywhere.

"The city is used as one of the characters in the film. You feel you are in a city that is going through change and is not afraid of its past but is looking forward to the future."

Lennox feels very much part of that future. "At the minute there's a whole rake of friends. We're all film makers and we're getting the opportunity to make our first and second films and it's very much films that I think will translate outside Belfast. We've got a lot to say about being there, but I think they can reach a wider audience."

It might help, of course, that there's a huge studio sitting in the Titanic Quarter of the city servicing the Game of Thrones TV show. The benefits are not just the work it brings, Lennox suggests. "It's employing hundreds of people. They're working on the best show in the world so they're becoming the best film people. So the independent film scene gets better. We're having the best crews on it who are born and bred in Belfast."

There will be people on this side of the North Channel who will be profoundly jealous, Michael. "It's one thing our politicians did well. They were all over that like a rash, which is brilliant. And hopefully they've set up so much infrastructure that when Game of Thrones stops something else will come along. And I think it will."

Lennox hasn't got the call from HBO yet. But he's been busy. He's filmed a documentary about female kickboxers in East Belfast for the BBC and he's just about to shoot an episode of ITV's crime drama Endeavour. As for Graham, he's got so much on the cards there's no room to namecheck it all. He could do with a holiday surely. "I'm doing a film in Wales so we're going to live in a cottage, me and the missus and the kids for three weeks."

Local hotels your pillows are safe.

A Patch of Fog goes on limited release tomorrow. It will be available VOD across all major digital platforms on Monday.