I used to run into the problem with bag checks when I bike commuted everywhere. Any time I was harassed, I would look at the employee and say, "Is it worth it to your company to lose a $300 sale from me to ask me keep my bag at the register?" No? "How about a $25 sale?" If the employee persisted, I would walk out the door. Of course, I wasn't trying to make money flipping stuff at the time, so I wouldn't have been super-motivated to buy whatever I was after at that particular time. But it's a tactic I would certainly try now, along with pointing out the fact that I've spent many thousands of dollars at the store.