Obviously only when you lift small, easily concealed items. That's how I tend to do it when I'm grocery shopping at a supermarket I don't frequently visit. I put small, but relatively pricier items into my cart, then when I'm in a less watched isle, like the cereal isle, I discretely slip them into my sweater pocket. I don't do this often, certainly not often enough to build up to a felony amount at any particular store. That's about the only way I feel brave enough to do it.
In a big store, how likely is it that someone notices it on security footage? It intuitively feels much less risky than just pocketing something and walking out the door without paying for anything.
That's basically what I've always done and I've never been caught. Usually feels safer when there's a lot of people in the store, but I can't imagine loss prevention is riveted to the cameras the entire time. I used to have a friend who watched the security cameras at a casino and he said it was extremely boring.