The real reason you need to address it with him is because if he's doing it to you he is likely doing it to, or WOULD do it to, others...and others might be FAR less understanding, and he could end up getting seriously fucked up by somebody.
It doesn't have to be awkward.
"Hey. Can I talk to you privately? Listen, we never have to talk about this again, but it's obvious you were stealing my underwear and I know why and it's not a big deal to me. I'll never bring it up with anyone, but two things: first, don't do it again because stealing is not cool. Second, be CAREFUL, because there are guys out there who will not react as well as I'm reacting, and you could get hurt. Don't be afraid to be yourself but be smart about it, ok? If you ever want to talk, you know where I'm at. But again...doing something like that can get you really messed up. It isn't worth it. Thanks champ."