Are you asking what you should really do, or what you should say on the application? On an application you may not know the procedures of the company, so I would suggest being a little vaguer. Mentioning HR when applying to a small firm that doesn't have an HR department might tag you as a big-company rules-stickler who won't fit in to their small folksy ways. Mentioning a specific job title like supervisor, foreman, or manager might raise hackles if in that company, you'd be messing with the chain of command going to that person. So I'd say something like "discreetly report it to the appropriate person as soon as possible."
As to what you should do in real life, it would depend on what was being taken (Joan's lunch? Steve's red stapler? A box of printer paper or pens? Cash from the petty cash box?) and where it was being taken (to a desk to be used? or home?). If one co-worker is stealing private possessions from other coworkers, or stealing items from the company for personal use, then that's just not acceptable. I mean maybe a pen or two might happen to go home in a pocket, but nothing beyond that. However taking "the good mouse" or "the nice ruler" to your own workstation is not the same thing at all. So the interview question "taking something that didn't belong to them" is insanely vague.
If something's not acceptable, it has to be acted on. It would usually be ridiculous to start with the police (though if a coworker took car keys and drove off in someone's car, I would call 911) so your boss or a neutral third party like HR is the way to go in non-emergencies. If you're concerned that the consequences of that would be too severe for the offense (firing for yogurt-taking) then you can confront the person directly or anonymously (Eg leave a note that says
I know who took the yogurt and if it happens again I will report you) although people may just laugh. And worrying about being a snitch? The workplace isn't high school, where there's a students-vs-teachers vibe, or prison for that matter. You're all on the same team. There may be places that are line-vs-management but I don't want to work in them. I recommend you don't think that way at all.