Time outs and taking away priviledges won't work here because there is too much separation between the 'crime' and the punishment. By the time she gets busted she has already forgotten or gotten over the behavior. I mean, that's my insight anyway.
Actually I find this very interesting. But I don't have any real answers, just more questions.
For example, what is her demeanor once it's clear to her that you've found the evidence and now she's in trouble? Does she cry? Does she show regret? If so, can you tell whether she has regret for getting caught, or regret for stealing?
It occurs to me a three year old taking something off a shelf in a store she likes is certainly not that uncommon. But it's unusual for her to not have 'learn' that it is wrong after several tries.
So I'm thinking she KNOWS it's wrong, understands there will be trouble, but chooses to do it anyway. Do you think that's a good accessment?
Have you heard her discuss it with a friend or another family member I mean without prompting? And when she hears YOU talk about it, what is her reaction?
Have you tried to discuss it with her, in terms of you asking her why, how do you feel, what were you thinking, rather than just your correcting the behavior?
Sorry so many questions, there are so many fantastic moms here, I think some one will have a little more guidance for you once they know the answers (aside from suggesting therapy, and talking to your ped about it, which you should!)