I'm actually not sure it's theft. It might violate confidentiality agreements, and using those files outside the scope of the former employer might constitute unlawful use of trade secrets, but simply copying the files and bringing them home may not actually be a criminal act.
(I'm just putting this out there because I don't actually know, and hope someone else knows the answer. Not attempting to be authoritative.)
(I'm just putting this out there because I don't actually know, and hope someone else knows the answer. Not attempting to be authoritative.)