I think you'd have to differentiate between someone who does it for fun (who is only slightly screwed up), someone who does it because of peer pressure, and someone for whom that's the only way they can connect with their preferred sex. (You could even throw in the sexually frustrated crossdresser who can't bring himself to buy them, but can steal them.)
You might also want to just get into the peer pressure variety. Why do guys encourage other guys to do it? There's the right of passage, hazing, and even prank elements involved. It can be used to prove you are a man, to play a prank on your female friends, and, yes, to prove you are worthy of being in a fraternity. You could write a whole story about the panty stealing culture and make it quite serious.
Everyone Has An Important Job To DoYou can play it for comedy, but then gradually have more sinister stuff happen, and then in The Reveal it turns out that the panties have some symbolic value.
Or it could be the symptom of someone braking into the protagonist's room. Since they only took some panties, no one believes her, while she's getting uncomfortable and then outright paranoid, and when there actually is a threat, she's not sure whether she's crazy or not, so she doesn't tell. And then she gets abducted.

I had this odd thought. The Panty Thief is traditionally comedic, but if one were to try and use it seriously for drama and horror value, how should it be done? Emphasising the Paranoia Fuel aspect of something so... close to the self... being taken? Going into how someone who does so must be seriously screwed up?