There's a thread on the Help Me! forum about the meaning of different phrases and expressions in English. The most recent question is about the idiom "red-handed", which means "caught in the act of doing something wrong". For more idioms of colour, see here.

Here are some more idioms and phrases to talk about stealing:

be caught red-handed: "The thief was caught red-handed."

be caught with your fingers in the till (till = cash register in a shop): "She was caught with her fingers in the till and she lost her job."

have sticky fingers: "Don't leave your bag unattended. Some people in this office have sticky fingers."

to nick = to steal: "The kids used to nick sweets from the shop when they were young."

to pinch = to steal: "He pinched some money from his mum's purse."

to fall off the back of a lorry (UK) = to refer to stolen goods.
"Where did he get your DVD?"
"Don't ask. It fell off the back of a lorry."