A couple years ago a friend of mine truly accidentally put a CD in her bag when she was juggling items to get to her phone when we were at Wal-Mart. She realized it when we were already in the car on the way home (alarm didn't go off) so she just took it back to customer service when we went back about a week later and told them what had happened. The person looked a little confused but didn't say anything to her and just let us keep shopping in the store.
If you're feeling guilty I don't know if you'd want to pretend it was an accident, but if you really want the store to have it back, that may be an option.

