I've done this before. They were my files but I guess technically company owned. Oh well fuck em
anything you created whilst operating as a functioning employee belongs to the company. to copy those files for your personal use already qualifies as theft.
there is room, however, to recreate certain things from your memory in your own time, in your own home.
e.g. say your company has a massively complex set of data that requires a certain way to organize/make sense of. you, as a data analyst, spends 4 weeks creating and refining a computer program tailored to organising this sea of data.
the computer program, whilst created by you, belongs to the company. copying this program to take home with you is illegal.
on the weekend, however, if you recreate this program at home to help you organise your own finances, tax and groceries etc, is completely kosher.
if you suddenly gets made redundant etc, and a rival company employs you, you are free to recreate such a program for the benefits of the new company*.
*subject to certain restrictions, e.g.
non-compete agreements, patents, NDA's etc