I would let staff know. I wouldn't want to get involved directly. Probably the staff won't either and will just call security or the police to deal with it. One place I worked someone confronted a thief and was stabbed with a syringe. She then got to spend the next 6 months waiting to see if her blood tests came back okay. Not worth it.
I wouldn't confront them directly as they could just say they had popped the item in their bag on the way to the cash register and had intended to pay. I would let a staff member know to keep an eye on them. I don't think they can do anything until someone actually leaves the store with unpaid for goods anyway.
I'm not sure what I would do, as I would be a bit worried about getting bashed.
When I was recently working at a shopping centre, a shop assistant saw someone take something and phoned Security.
They got the person, and that night the girl was bashed in the car park -obviously by friends who hung around the rest of the day.
That turned me off telling anyone.
I have also been in the situation in the same shopping centre while serving at an Op Shop as a volunteer, that a lady brazenly picked up some jewellery and dropped it in her pocket. I started to say something and looked at her, and shut my mouth -she was about twice the size of me, and we had been told not to "challenge" anyone stealing!
I have approached persons(usually school girls) and told them that I just noticed them drop makeup into their pockets/bag. I told them that if I noticed them do it, then security probably have too. Told them they should put the items back, leave the store and have a think.
Mind you, I have asked to see the manager in some shops, and in particular at Christmas time, when I have had to wait so long to get served. I said to one manager that I was very tempted to just walk out of the store(with the goods I wanted to purchase).I thought by me saying that to him, that he would drop everything and serve me himself - but he didn't. Was a time where extra staff would be hired over the Christmas period (naturally very junior staff and very temporary). Some times I think the shops deserve to lose their stock to shoplifters. Bad managers everywhere.