Generally, snow is public property. I suppose it depends on where you steal the snowman from. If you steal it from the sidewalk or the street, I think the snowman is fair game.
Now, there may or may not be copyright issues, in that you have to change the snowman to make it an 'original' work of 'art.' If you improve the snowman by making it better, how can anyone consider it stealing?
If you steal it from someone's yard, I suppose the snow is still public property. If you do steal a snowman from someone's yard, be sure you do not actually touch any non-snow covered ground in the yard. If you do, the public property of snow will not cover you and then you might be legally liable. I hope that's helpful. I am not a lawyer.