EDIT: Do people not care that I steal their stuff?
If they notice they'll warn you once, and then call the guards the next time. Also your companions may get pissed and leave the party forever.
EDIT2: Does gear equip itself automatically? And how do I access my bags?
If you're not wearing gloves, and pick some up, yes it will equip itself. (just an example) Access your bags by double-clicking on the Avatar, or if you're using Exult then turn on the status bar and double-click the character's portrait.