J.C.
The best thing you could do for her is if you see her take something, make her go up to the cashier with you and ask for a store manager. Make her tell the manager that she took it and have her give it back to him. You have to take advantage of kids learning lessons while they're young and there are no serious effects yet. If you wait, and just tell her to put it back, she hasn't learned the consequences yet and so will keep on trying it and before you know it, she'll be the one getting fined and in legal trouble. My daughter took a cat toy from my mom's house when she was 4, saying my mom said she didn't like the toy and had thrown it in a corner. My daughter said that it meant my mom didn't want it. I explained to her that when you take something that doesn't belong to you, it's called stealing. I made her call my mom and tell her that she stole it. She was crying hysterically the entire time, but she will NEVER do it again because she remembers that consequence.
I would definitely be stressed out over it too. I would be taking her to stores with you and keeping an eye on her for when it may happen next so you're able to get it taken care of soon. As far as the little girl's ipod, I would've made her take it to her house and tell the girl's mom that she took it. You have to really make them understand that it's wrong, and in order to do that, you have to put them into a position where they don't WANT to ever try it again.