Leave the group. Groups that tolerate inter-party bs like that aren't worth your time. Or just kill the bastard in his sleep. ...The player's character, I mean.
There are plenty of creative things you can do to screw with him. The simplest way to ctach him in the act would probably just be to cast
Alarm on one of your valuable but easy to pickpocket shiny things. Exclude yourself from setting it off, and keep it in your backback so the area of effect of the emanation is blocked. Until the rogue sticks his hand in your pouch and touches it, setting off a loud shoplifter siren. You then have proof he's a no good thief and have a legitimate reason to kill him in his sleep and/or plot against him with the rest of the party, if you're worried your DM would say killing him in his sleep without catching him is "metagaming."
If you're higher level, there are stronger spells and cursed items you could consider, too. My favorite would be a bag of devouring. Even if he lifts it off you instead of just fumbling through it at the instance of theft, he's going to try and see what prizes he snagged eventually. Hopefully with you within earshot of his screams of shock and pain so you can give him a lil' push.
You need to try and figure out if the DM is his buddy or not. Allowing him to get away with this stuff, I'd think they're on friendly terms, though it's possible this is just an "old school" DM. If you don't think the DM would tip the player off, by all means inform him of your plans/countermeasures. If you suspect otherwise...write what your plans are on a piece of paper beforehand and keep the paper face down at the table. When you proudly declare the world of pain the rogue is in and they say you nevr claimed you were doing that, whip out your pre-made plans that you were hiding because you didn't trust the DM.
Again, I think you're better off just finding better people to game with than trying to outdecieve and "defeat" them.
