Hi K. - I don't think searching him before he leaves is such a bad idea... It may just be a matter of implementing a new "family policy" in your house.
Tell him about it next time he comes over - you seem to be missing stuff and just want to be sure that it's not inadvertently getting mis-placed. Very innocent. No accusations.
Maybe both boys do it at the same time. Empty pockets, turn hoods inside out. You see, different houses have different rules - and this is one of ours.
The opposite way to go about it is this: Next time he comes over, take him aside and tell him that your house rule is that issues (problems - but we don't use that word) that come up are discussed between "you and I" the first time.
If it happens again, I have a conversation with your Mom (Dad,whomever.)
Now we really have no idea what's going on, and we're having this conversation with everyone that comes over. (You get the drill - very non-confrontational...)
And ask him if he's ever gotten home and found that he had your sons lego, matchbox car, whatever, by accident? because eeesh - it could happen. Heck, it used to happen to you when you were a kid!
However - if your son continues to lose toys, he will not be able to have any more playdates. Period.
THEN - if you think it's continuing, you can go for option one, above.
More importantly though - here's a lesson for your son.
Here's an opportunity for him to learn about different people and issues they might have... What kind of home life might his friend have that's causing this behavior? Might stealing and breaking the rules be ok in his house? What kind of life do you think Johnny will have as a result...?
There's always an opportunity to teach, if we reserve judgement and interrupt the attitude we might be thrown to.
I don't envy you, raising a man. It is very difficult. But here you've been given an opportunity to teach not only conflict resolution, but tolerance and compassion as well - plus the simple fact that we must obey the rules or there are consequences.
What a gift!