Well, it happens when I am alone, so I think it's me. We sometimes use our mobiles to add up the total before we get to the till, which I think is probably seen as "odd" here (although people do it all the time in the States).
They don't follow right behind me. It's a big store with a centre row running down the middle of the aisles. It's almost always crowded which buggers belief why they have time to follow me around. Basically, they usually stand in the centre row, slightly off to the side, peering down the row at us. When we get to the till, they move to the doors and stand by the alarm. There are two exits, both on the same side, so when both are open, one stands by one, the other the other. I stand well back and wait for people to go through, and go through on my own. I do this because one time the woman ahead of us set off the alarm. The guard did a quick glance at the woman's receipt and waved her through because the "real" criminal (ME) was coming through.
I know it sounds like I shouldn't get upset by this, but we've been here three months, it's happened almost every time since we've been here (and definitely every time in the past month or so). and it gets old quick.
ETA: I've shoplifted a grand total of twice in my life, both as a kid. I felt bad enough about the second time that I never did it again. The first time I think I was too young to realise really how bad/dumb it was.