Haha! How cute! We've had dogs do similar things...
Our old Westie-Poo, Eppy, ran away with the neihbor's poodle, Peaches, and ran to the grocery store near the house. The store was about three-blocks away (but we lived in a subdivision where there are no blocks). We got a phone call from the store manager (and friend of my mum) saying that Eppy and Peaches were just walking up and down the store aisles together. Funny little pup...
Our old Westie, Jenny, liked to try and steal rawhide chews from the pet store near the grocery store. She would come in with me to pick up some things, quickly grab a bone, and keep walking around the store with me. I didn't see her do it the first couple times, but the store owners were nice enough to give us a few freebies!