Valentin, I can relate to your story. With Luc it was stealing my eyeglasses. When he was a puppy he would steal (and then chew) any pair of glasses he could find. I finally realized that it was up to me to keep them out of his reach.
I also found that chasing him to get them back reinforced the behavior because he thought we were playing a fun game. My advice (other than remembering to keep these items out of his reach if possible) is to teach him the "leave it" command so the next time you find him "stealing" you can use the command.
Another thing that I found that works is to find something to trade with. If your dog has one of your valued possessions coax him into trading it for something more appropriate like a bone or one of his favorite toys. Good Luck!
