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Take shit from supermarkets. Walmart is fucking easy if you know what you're doing. Kmart can be pretty brutal, and is the only place I've ever gotten caught.
Try going around 1 AM, no one watches the cameras that time. The only thing you have to worry about is the greeter catching you, and usually they'll either not be paying attention or not even fucking be there at that time of night.
Dress nondescript. If you wear a hooded jacket don't have the hood up. Wear loose jeans but not too baggy. You may want a jacket that covers your back pockets so you can stick shit like toothbrushes and whatnot in your back pocket, but don't make it too large. The point is to make it NOT look like a thief.
Try to stick to smaller things. Kool-Aid packets, maybe a DVD if your pocket is big enough.
Go to the bathroom and quietly remove all the packaging, carrying a pocket knife or a razor blade can help tremendously. Flush fucking everything. You don't want to run the risk of setting off the security alarm.
In the event that you DO forget a security device, your best bet is to just keep walking. Greeters aren't allowed to leave the store. If it looks like a cop or security guy is coming after you, though, stick around. Try and bullshit them about forgetting you had it or something. They WILL take you to court over it but if you haven't left the building it's TECHNICALLY not illegal, assuming you haven't mutilated the product of course.
One neat trick you can successfully pull off during the day is try on a jacket or hat, and just go to another part of the store. Make sure there's no security devices, as usual. Don't remove the tags but try to tuck them in somewhere. Wander around for a bit, then leave out the opposite door from where you entered. The different greeter won't have seen you walk in and so won't recognize you, and therefore won't realize you're leaving with clothes you didn't enter with. And if they DO catch you you can just claim you forgot you were still wearing it from trying it on or goofing off or whatever.
Finally and most importantly, do NOT go into a store you're unfamiliar with to try and take things. Come in every couple of days and get used to the layout, and keep an eye out for camera placement. Most of Walmart's camera domes are fake and chances are there won't be anyone watching anyway, but better safe than sorry. NEVER linger around, do NOT pick something up and put it back down only to pick it back up repeatedly. If you see something you want and are unsure about it, pass it up and evaluate it elsewhere. Nothing is more suspicious than looking suspicious.
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