As others have said I think it's good to see that their security are not just sitting on the butts doing nothing. When I did work experience in Woolworths last year some guy took an iPod from the display case (someone forgot to lock) and walked out with it! The security guard done nothing even when someone shouted "He just stole an iPod!" If you're annoyed about it I think you should just change store
Maybe become friendly with staff to build up trust? Why not say to him when he follows you and show him it's just your MP4 player?
