I'm thinking of stealing a traffic cone and bringing it home after a night of drinking.
Oh my, why? What will you do with a traffic cone?
I would put it in my backyard.
You shouldn't steal things. Stealing is always wrong, especially when it's for the reason of wanting to use it as decoration in your backyard. You can get in serious legal trouble if you steal.
Only if I get caught.
You should be more worried about this as people have their phones and they could have recorded you. Not to mention all those CCTV cameras installed in the area so there's a high probability that someone caught you stealing it. I suggest you do the right thing and return what you stole.