Write them up first so you have it in writing when they try to file for unemployment. If they think there is a chance they won't get fired it will be much easier to have them sign on the dotted line.
Then have them arrested and walked out by police. Drop charges if you want, but message is sent.
One can never stop employee theft. But attempting to hire quality people instead of a warm body helps. Also, treating your employees with respect and care helps. That being said, they will still steal.
If you have a cash register type of business go out during their shift and z-out the register, take the cash drawer, and reconcile it. Just say it is a normal procedure you follow.
If you give your employees banks to start their shifts, but an extra $20 in the bank and see if they report it. If they don't report it, make it $20 short and see if they report that.