Yes, many posters here have given the right answer. If you go into a modern day high end jewelry shop, you can’t just pick up that diamond rolex and run away with it. It’s in a case, they bring it out in a room, etc.
And real world high end jewelry stores have iron bars on the windows, and a staged entry system with guards at the doors so the outer entry door and the inner entry door are never open at the same time.
This is true for Zales, Tiffany's and other high end stores of this nature. They have uniformed guards all over the place along with extensive training of the personel to avoid the sort of common tricks most players will come up with to try and grab and run. Such as items never leave their hands and only one item is ever out of a secure case for a client at a time, no matter how many items they want to look at. If they like a different item then the first if resecured before the second is shown, etc.
No magic shop is going to stock anything above a minor item in shop inventory. Rare and expensive items would be held at a magic auction house under high level security. These items would be in high demand from adventurers and the wealthy and would only be available by auction to the highest bidder.
I've always envisioned magic marts (I actually hate the concept) as more of a high-end specialized pawn shop. They will have a small assortment of items on-hand that they think they have a reasonable chance to move quickly. For example, +1 longsword, +1 cloak of protection, etc. They might have some more obscure items such as lesser bracers of archery, that some other adventurer brought in last week. If you looking for a +1 longsword with a dragon pommel or a green +1 cloak of protection, forget it you're outta luck.
I also image that such shop owners would have a business network that would allow them to obtain additional items from other shop owners or on consignment from the items owner in a short period of time. Magic shops would also probably know local crafters who would be willing to do work on commission.
I would think auctions would be mainly for more valuable or esoteric items. They wouldn't occur often because of the logistics in setting up an auction and vetting the bidders.
In my campaign we had accidentally found the town fence (we were level 4).. And the owner was apparently a Bard 7. With some fun Kitsune shenanigans I managed to step into the back room and get my hands on a Cloak of Resistance +5... At which point I was hit with a high-DC Confusion spell. Followed by loud alarms and all windows locking down (leaving only the door I came from).
..That wouldn't entirely work for your party. Maybe just assume that somebody who can make that expensive gear would have something like a Dimensional Lock put over their shop so nobody can try to grab an item and teleport out.
I've always thought that magic shops damage player immersion. The arguments for why they shouldn't exist far outweigh the one reason they do (convenience), so I avoid them at all cost.
In the future I wouldn't roleplay a game element that functions like an item menu, simply record the changes on character sheets and move on. This way, there is no chance to steal, and no reason to explain why that is.
If you enjoy the magic shop concept, many of the above mentioned ideas are great ways to manage miscreant character behavior.
In any game I ran, a magic shop would be a big deal. The proprietor would be well connected (think Szcarni). Stealing would be a very ignorant thing to do, and would bring punishment that far outweighed any item one might get away with ...
Another thing to consider is that in addition to being extremely valuable, many magic items are also very dangerous. We're not just talking about the fantasy equivalent of an ultra-fancy ring or art object; these are also weapons or other items with combat utility. In particular, arms with offensive enchantments on them and scrolls with offensive or evil spells on them are dangerous! Even defensive and utility items are things that we'd be likely to keep under security disproportionate to their monetary value. If a low-level hoodlum tries to take a switchblade to a low-level guard, the guard has a significantly better chance of surviving than if the same hoodlum uses a +1 Flaming Switchblade. In an extremely cosmopolitan setting, it might not be easy to acquire some of these items legally at all in some areas without a background check and maybe some checks for alignment and compulsion effects. I'm not saying the DMs should be excessively draconian with letting PCs get cool magic items they want - that's what their treasure is for in the first place - but it's interesting to think about.
Also, having the item in question be removed from the thief at exactly the wrong time, like in the middle of combat. Or having the creator join in against the character while they're in combat. Nothing like a chain lightning in the middle of fighting a Rune Giant...Or the wizard could constantly send summoned devils, demons at the thief...