If you set an alarm off, run and hide between houses, hop fences, do anything you can to get away. If you have a feeling you aren't going to get away, ditch the items somewhere the cops/civi's won't find, and won't get ruined. So when you get caught, you won't have anything on you.
After you collect enough valuables, I'd recommend waiting about 3-5 weeks, and then pawning the items.
Don't do too many items at one place, and switch up pawn shops, it's smarter to not get caught.
Friend: Sure, what time?
Steve: about 1-2am, i'll hit you up.