With hard drives so large these days people usually don't delete stuff, including stuff that they are not really in to. If he really is gay, he'll eventually come out.

I'd give what >>3 said a try. Mentioning the underwear might be a bad idea. If he isn't taking your stuff he's going to be offended or is going to get suspicious. The shoes and the other stuff is understandable if you are both around the same height. So mentioning those things shouldn't be a problem.

A lock on your room or stuff will at least keep your stuff from going missing. It won't solve the great underwear mystery of 2010, but at least your stuff will wont go missing.