Oh, I'm not going to punished him for playing a rouge. He's doing a great job and has gotten away with a lot. I just need a way to understand how things may go awry.
Give your player some warning if you're going to screw him over for stealing something. That being said, here's a few ideas for positive reinforcement:
Give him a Good Reputation: The changling might have all of the skills, etc., but he still needs a reputation. Fences will screw him over or refuse to deal with him, people who don't know him will turn him in, etc. If the changling pulls off a good heist or two, make sure his character gets some in world notoriety. A little bit of a rep going around. Changing faces means losing that rep. I mean what's the fun of being a cross between James Bond and Robin Hood if everyone just ignores you?
Contacts/Love interest/etc: Again, changing your face means losing all of that. Try and pull the player into the character.
Gods: Even the chaotic good deities will frown on this if he stole from people who needed what he stole, and lawful good are frowning on it no matter what. Does the character need help from a god/priesthood? Well, some atonement is now in order!
All good items are magic anyway: Breaking into a Wizard's study comes with consequences. Curses, etc. Other than that, you're REALLY going to have trouble breaking the wealth limits for a even a moderate level character by stealing a handful of trinkets worth 10-200 GP. So why not let the character get away with it?
Hitting the character with the "magic can do anything" stick is just kinda rude. Yes it can we all know that.