If your dog is stealing things because the game is so much fun, then don’t play. The idea is for your puppy to learn that taking your things is completely pointless because it doesn’t result in anything fun happening to them as a result. Make sure the stealing behaviour is not rewarded. Dogs will repeat anything that works out well for them. So, if your dog enjoys gaining your attention by stealing things, the best thing to do when they steal is to ignore them, as long as it is safe to do so. Simply wait until they lose interest and drop the item, then encourage them to do something else instead, such as play with a toy or enjoy a chew.
You could provide suitable toys and chews, make homemade puzzle feeders and engage them with some fun training. Always reward good behaviour. Make sure you give your dog lots of praise and attention for good behaviours instead, like playing with their own toys or relaxing by themselves. Teach your dog to swap things. It can be useful to get your dog comfortable with swapping something they have for something they consider to be of equal or greater value.