My mate has joined a bad group and started stealing things I'm worried about him, should I say something?
If your friend has joined a bad group then it sounds like he has been dragged into doing things that he knows are wrong already.
The problem is one of peer pressure - we all long to belong to a group and sometimes the badder the reputation or worse things that group does the cooler it seems because it is rebelling and can seem exciting.
Of course you are too sensible to get into that sort of thing at all, but you should try to make sure that you help your mate out by telling him what's wrong.
Remind him stealing is against the law and that he could go to jail and get a criminal record for it - and that is it really worth it just to fit in with a few friends.
When you do talk to him make sure it's away from the rest of that group as he probably behaves differently around them in order to fit in.
If he doesn't listen then there's not much more you can do - you have tried your best, and he knows you are right, but might not decide to listen to you just now.