I'm a firm believer that we teach people how to treat us. Your neighbors drop in unexpectedly and stay for a while because you allow it. You want to be a good hostess and a good neighbor, but I think you need to recognize that you can be both and still say, "I'm sorry but this isn't a good time. Could you please call before stopping by next time?" Then you don't let them in the house. Tell them through your screen door. Step outside onto the porch to tell them. But don't let them in.
About the little girl taking toys with her on every visit... it's the same exact thing. As soon as it happened more than once... all it took was a second time... you and your daughter taught her that she could leave every time with whatever she wanted if she just misbehaved long enough. So here's what you do. EVEN IF SHE'S MISBEHAVING AND CRYING YOU SPEED THEIR DEPARTURE ALONG AND DON'T PROLONG IT. DO NOT GIVE IN TO LETTING HER HAVE A TOY TO BRING HOME.
I say this as a mother to a special needs daughter who would do this every time to her best friend at my best friend's house. I had to retrain my daughter, my friend, and her daughter! They just feel so badly when my middle daughter would cry (this started in toddlerhood) that they just wanted her to stop because they love her so much, and the sun would come out when she smiles again.
What you need to do now is request those toys back, especially if you let the girl take them with the disclaimer of bringing them back "next time." Be firm about it. It's not like you don't know where they live and they can't go back home to get your daughter's belongings. Be polite, but firm, and kind.
It's about setting up boundaries and you have the right to do so in your own home. People aren't allowed to just do whatever they like.