"Dear Head Office
I was followed around a store today, and found the experience quite unnerving, embarrassing, and inappropriate.
Quite apart from making me feel intimidated, and that I had done something wrong, the actions of your security guard made it impossible for me to remove anything from the shelves, conceal it, exit the store without purchasing it, and actually do something wrong. The security guard's behaviour was insulting. I do not look like a criminal. I was dressed very smartly in the raincoat with the big pockets that I relieved John Lewis of last week.
I hope you will consider this, and instruct your security guards to be less watchful and discouraging in future.
Yours insincerely.
T. Leaf
ps: Would you like to buy an iphone?"
With more seriousness, complaints, hard stares, kicking off... none of this will make any difference to policy, because actual shoplifters do this too. The shop is protecting their profits and by extension your money and their worker's bonuses. If you're being followed and you're honest, just ignore it. It's not personal.