1
general::
Furtively, secretly, as in She's always eating cookies on the sly. The adjective sly, which means "cunning" or "crafty," is here used as a noun. [c. 1800]
American Heritage Idioms
2
general::
Phrase(s): on the sly
Fig. secretly and deceptively. • She was stealing little bits of money on the sly. • Martin was having an affair with the maid on the sly.
McGrawhill's American Idioms And Phrasal Verbs