Put on the Gray Fox's mask. Steal something and wait for the guards to tell you, "Oh, you are the Gray Fox. I'm going to kill you" (or something similar. Select "Resist Arrest". Then, go to your inventory and take off the mask. Exit the menu, then yield to the guard by holding Block and pressing X to talk to him at the same time. He should walk away. You will not have a bounty, and you will still have the stolen item.