This is the issue I got into in the Parfitian filter article I wrote. (And later in some exchanges with Perplexed.)

Basically, the problem with your second paragraph is that actions do not uniquely determine preferences. (See in particular the a/b theory comparisons in the article.) There are an infinite number of preference sets -- not to mention preference/belief sets -- that can explain any given action. So, you have to use a few more constraints to explain behavior.

That, in turn, leads you to the question of whether an agent is pursuing a terminal value, or an instrumental value in the belief that it will satisfy a terminal value. And that's also what makes it hard to say in what sense a shoplifter makes himself better off -- does he satisfy a terminal value? Believe he's satisfying an instrumental value? Correctly or incorrectly?

However, I don't know of a concise way to point to the (purported) benefits of shoplifting.

So we're left with a number of hypotheses: it could be that people overestimate the risks of shoplifting. Or that they never consider it. Or that they have a more complex way of evaluating the benefits (which your "identity loss" approach is a good, insightful example of).

So, there's more to it than a simple action -> preference mapping, but likewise, there's more to the decision theory than these "local monetary gains". Regardless, we have a case where people are doing the equivalent of repeatedly playing Newcomb's problem and one-boxing "even though the box is already filled or not", and it would be interesting to look at the mechanisms at play in such a real-life situation.