I do it far less these days as I'm a single mum and can't get out to the skips at night! But I do it when I get the chance. Night is best, so as to avoid getting caught by staff or by ignorant members of the public who'll call you a dirty pikey or somesuch.
Most recent food skipping expedition was about a month ago, when I went with a friend who was staying - 7 bags of onions, some baking potatoes, dozens of packets of crisps, 3 trifles, a 4 pack of beer, and some chocolate brownies. DD and I check the skips round the back of the second hand shops in town a couple of times a week - toys, books, electrical goods, CDs, baby equipment, kitchen stuff etc, and what we can't make use of I offer on the local Freecycle.
I have been caught several times by shop staff, and these days I'd leave with no fuss. When I was younger and lairier, I did argue the toss with them about the ethics of the whole thing, but its pointless as its not the shop staff who make the rules.