It's bad form, stop doing it.
While there's nothing illegal or even more than a tiny bit unethical, it just plain looks bad, and can actually come back to bite you hard.
Management may not act directly against you, but they may pull the benefit from everyone. And when they announce that they are no longer providing complimentary beverages due to abuse of the program, your coworkers will find out who the culprit was.
If there are times when you are that thirsty at the end of the day, get the soda and drink it at your desk instead of taking it with you. If for some reason you really need that soda "to go", ask your manager if it's okay.
It may seem like a small thing, but your character is made out of a collection of small things. Now, this approach also helps you to be beyond reproach. If you become the guy who won't even take a soda at the end of the day without asking management, you are going to earn a reputation of being extremely honest which this day and age is a HUGE plus.
EDITED TO ADD (with a hat tip to Leon, for inspiring this)
If someone else is taking more than the occasional soda, but taking a bunch and depleting the supply, they might blame you for all of it if someone sees you taking it without telling someone.
However, if you ask your manager and let him know that you are taking one every time you do, and they notice a bunch missing, your manager will know you are not the culprit.
Which sounds better?
Huh? Bodrov? No, he took one home last week, but he hasn't been sneaking them out. He always tells me when he's grabbing one. He's not the thief
Hmmm, A whole bunch of soda has been disappearing. I think someone said they saw Bodrov grabbing something out of the fridge before he left...