This is an easy one. Just teach him to retrieve things and bring them to you rather than legging it down the garden.
Collect together a bag of the things that he likes to steal most and then go to a small, confined area (kitchen?) and tip the bag out on the floor. When he picks something up, stick a treat under his nose and say 'drop it' as he opens his mouth. Throw the object on the floor and let him pick another object.
Before long he will happily drop the object on command, or better still, bring it to you.