I actually did something like this long ago (pre-2000) - emailed a set of detailed and very confidential sales spreadsheets to my personal email. It wasn't "theft" (and AFAIK nobody even noticed). It was so I could convert the spreadsheets to a proper Access database on my own time, since that's not what I was paid to do but it made my job a lot easier.
I would probably have been in a world of shit if anything came of it, though.