I love the plaque in the bathroom here at the i2x retreat. It says:
Due to the popularity of our guest room amenities, our Housekeeping Department now offers these items for sale ... Should you decide to take these articles from your room instead of obtaining them from the Executive Housekeeper, we will assume you approve a corresponding charge to your account.
Basically, if you take the alarm clock, ironing board, or unbolt the hair dryer from the wall, we are so charging your butt.
This strikes me as taking the high road. It's as if to say, "hey, what do we know - maybe you aren't some scumbag crook, maybe you had the first good night sleep in years on our pillows - then by all means, take them. We just need to cover our costs." And for the scumbag crooks, well, they know they are going to end up paying for the stuff they take.
Maybe I'm too nice a guy, but I like this approach.