Shoplifting vs. a word for "someone who orders, eats and sneaks without paying the check"
Solution 1:
This is known as a Dine and Dash
A dine and dash (also referred to as "dine and ditch", "eat and run", "chew and screw" "doing a runner" or "beating the check") is a form of theft by fraud, in which a patron orders and consumes food from a restaurant or similar establishment with no intent to pay, then leaves without paying. Wikipedia
Solution 2:
In a retail context you would refer to them as a "grazer".
Echoing Geobit's comment, you might consider a "walkout".
Or more prosaicly, you might simply refer to them as a "thief", since that's what they are.