I've done it, albeit accidentally. I went to the ThinkGeek store at the Palisades Mall a few years ago and saw this really basic, green Zelda shirt. I was planning on buying it, so I slung it over my shoulder and kept browsing. I eventually get to check out, payed for the stuff in my hands, and left. It wasn't until we were sitting down in the food court that I realized I still had the shirt slung over my shoulder.
On the flipside, when I was younger I worked retail at a large pharmaceutical chain. People would shoplift all of the time; specifically in personal care (condoms, wipes, gels) and in the makeup aisle. We were under strict protocol to not approach them and just take down their physical features before forwarding the information to the police. Normally I'd follow procedure, but if the person was super obvious, we'd walk down the outer aisles and ask if they needed any help. Most of the time, they'd put the item back and leave.
The annoying part was, we had to do the inventory count for that aisle every time we "suspected" shoplifting, and as you can imagine, doing an entire inventory of the makeup aisle takes....practically all day. So.....we normally didn't approach anyone on the makeup aisle.