I'd do the same - explanation, make him/her make amends (ie, return the item and say sorry), and then it's over with.
I wouldn't go on about it or shout or anything. FWIW, I don't think it's quite stealing, in the true sense of the word with a child so young, but taking things that don't belong to them is wrong, and they need to learn that.
I'd pretty much do the same thing I'd do if they snatched a toy from another child.