I afraid the only thing that going to make him realise what he is doing is if he has something to lose. If he has everything he could ever want, then maybe, if he is found taking anything then he must lose something he loves. Each time he does this, take a favourite toy or game and place it in a box. Let him know its there. But don't give it back, and don't give in. When after a period of time (Not a short time) when he has stopped this and realises what its like to lose something, he could start having things back. Maybe also he needs to value his own stuff. If he gets everything easily they have no real value and he doesn't understand what hes doing.