I remember when our daughter was about 6, she was at a friends house. She saw a stuffed animal that she really liked, and decided to stuff it in her bag and take it home with her. It didn't take long for us to see this "new toy" and then there was a phone call from the parents asking if we had seen it.
Well, we punished her, and then I came up with an idea to really teach her a lesson. All this happened around Christmas time. Mrs. Wooly went out and bought a toy that our daughter had been saying she really, really wanted. On Christmas, she opened up all her presents and the last one she opened was the toy she really, really wanted.
Her eyes lit up, and there was a huge grin on her face. Before she could get any further to open it up, I took it away from her and said that it was going back to the store, as an added punishment for what she did. She wasn't happy with what we were doing but, she accepted it.
Must've made an impression because we've never had to worry about her stealing ever since.