The trick is to do it with confidence.
Howard Wolowitz: "The trick is to carry it out to your car like you own it." The Big Bang Theory (S4, E1). The above line was used after Howard stole a robot from NASA and Penny asked him if he stole it.
This is one of my all time favorite quotes, not only because it is funny in the situation but it can actually be used in real life. Many a time when you will look at a security guard nervously, even if you haven't done anything wrong, they will look at you suspiciously. There is always that feeling in the back of your mind when you see a police officer in public, the feeling that you have done something wrong and have to hide it.
I do this with security guards at shops when the buzzer goes off, even though I paid for the stuff. Just walk on normally and don't look back, you didn't do anything wrong. In some cases they might be just as shy as you or don't really feel like doing their job. I have not been stopped nearly as much as I should have just because I'm portraying false confidence.
Confidence is the key, even if it is false confidence. It always throws people off to be polite, direct and when you don't back down in a calm manner.
@zord189