Haha this happens to us all the time! We are in and out of our neighborhood grocery several days a week. The "loss & prevention officer" as he's called wears plain clothes and spends his time "pretending" to shop but its painfully obvious he's stalking customers. Having young kids, my shopping time is often my only "me time", and time i have to find some quiet relief, so when i go i'm usually aimlessly wandering, picking things up putting them back, reading labels, and generally taking my time. Apparently this sort of behavior raises suspicion, because it never fails that Im followed just as you described. I've found the best way to combat it is awkward eye contact, big smiles, how are you today, and blatantly calling him out " catch any thiefs today?" That really ruffles his feathers cause he's in disguise haha. In any case i think you handled the situation smashingly :)
I will have to remember the catch any thief's today line!