There's no consequences if he doesn't get caught. Separate him from the group, sneak around, steal, and then return to the group. The only drawback is that if he gets caught and ends up in a fight, it's going to take you awhile to help him. He can just dash away though if you give him any movement boosts. But be forewarned. There are serious consequences to getting caught in some parts of the game, very serious consequences.