Various answers are possible since the question is purely subjective. However, one viewpoint is given below as a sample.
I would raise an alarm so that the thief is arrested.
I would deposit it to the police station of that area, and see to it tht the owner trace and the wallet is restored to him.
I would tell the shopkeeper without giving reference of the lady, to be cautions against shoplifting.
I would take to him and tell him remain away from the bad company. In case I fail to do so, I would meet his parents an make them aware of the situation so that they may keep a watch on his activities.
I would tell my class-mate that it was a bad thing to steal, and urge him to restore the pen to its owner.