F I caught an employee stealing supplies worth any amount, I would report it to management. Not only is stealing morally wrong, but it's important to be able to trust the people you work with. An employee stealing is a sign of that person not being trust-worthy, and if I did not report it then not only would I be somewhat responsible, but also privy to whatever consequences come about when or if that person were to get caught and reprimanded.
I think there's a difference between a person intentionally stealing supplies versus accidentally taking something home with them. That being said, I don't think it would be worth the cost of training if the training were specifically geared toward low-cost theft. There are numerous trainings out there that cover theft, and they mention the low-cost items in them as well. This type of training would be more beneficial than a training specifically geared toward low-cost theft.