If you think setting off the alarm when you leave is bad, try setting it off when you walk into the store! I only ride an MC so I've always got a backpack and usually my carry piece is tucked in the small pocket.
One night, about midnight, I walked into a local Kroger and had to pass through the security gates since all the other doors were closed. There were two people manning the self-checkout lines (only lines open) and they both gave me this really wierd look. I stood there for a second trying to figure out how in the hell I just set off the alarm with an empty backpack and only my gun. So I walked in, said, "Your door must not like me," and proceeded to go shopping. Got the stuff I wanted, checked out, stuffed it in my bag in front of the clerk, and walked out as the alarm went off.
Manager comes running out as I'm starting my bike and asks, "Did you set the alarm off?" I told, him, "Sure did, and I set it off coming in too! Why, do you want to look in my bag?" He sorta looked at me funny, stuttered something to me, turned around, and left. I had no intention of opening my bag but I wanted to let him feel he was making the decision and not me forcing his hand. If he had said yes, I would have told him, "No problem, but why don't you call HPD because I'm not opening my bag for anyone but them." I'm not going to create a scene or be unreasonable, but I've got a gun and that bag is staying closed until the PD shows up and I can explain why I don't want to open it.
I've only had a problem at one store (another Kroger) where I was almost refused entry because I was wearing my bag. The door lady says, you have to leave it here, I asked if she was willing to take responsibility for the contents of my bag. She stared at me, I asked her again if she wanted to take personal responsibility for what was inside my bag, and she called the manager. The manager explained they had a shoplifting problem with people wearing bags. I asked if it was their policy to discriminate against MC riders because they had no choice but to wear a backpack. He proceeded to become indignant and say that he wasn't discriminating against me but he had no choice. I told him that he was indeed discriminating against me and asked him to provide me with the contact information for the store manager, area manager, and state contacts.
I guess I made him feel bad because he asked a clerk to escort me through the store. I had only palnned to pick up a bottle of wine for a dinner at my brothers house but instead I wandered all the aisles, chilled 4 bottles of wine, decided on different ones, read every label twice, and generally just talked bikes with the guy following me around. He told me he appreciated the break from the checkout line and I enjoyed seeing the manager pop his head in and out to watch. I ended up buying a single bottle of wine, wasted 45 minutes of their time, and had a good time doing it. Then I wrote a few letters and the last time I was there, nobody said anything about my bag.
I know Best Buy and Wal-Mart are supposed to be the worst, but I've never been asked to open my bag at either of those stores once I pack it up at the counter. I think the helmet and padded jacket make me look more honest.