"Doesn't the casino consider it stealing if caught slipping roulettes in your pockets or whatever you have to put them in."

Technically yes. I think every casino has a different outlook on it. From my own experience, I have been offered roulettes by casino management that knows I collect, I have asked to be sold roulettes and have been told I can't sell them to you, but go play and take what you want and I have also been sold some after explaining that I collect roulette chips.

After speaking with many casino personal I think they are less fearful of compromising the game and having them reintroduced back at a later day, than they are annoyed of them disappearing and having to order more.
Barry