I actually saw this happen once. I was standing at the checkout counter at McRae's Dept Store and a woman casually took a pair of gloves off the counter and put them in her purse.. I am ashamed to say I did nothing. I was much younger then...today I would tell the clerk so security could stop her before she left the store.
I would tell one of the cashiers. Then I would keep an eye on that person to see if they took anything else. I always wanted to be a detective so I like doing that kind of thing. I used to love when I worked in the grocery store and we caught shoplifters. If they were female I got to sit with them until the police came and usually the police had me stay there while they did what they had to do. That was exciting