First Step: Tell the loss prevention officer "You get the cops here now". Most shoplifters dont ask for the police. When someone apraches you and asks or attempts to check out your person you say NO! I will wait for Law Enforcement to get here on the scene. You have a right to refuse search of your person. If they continue or grab you that is an assault and you must respond defensively (OC Spray, Surefire E2D Strke, Palm shove to nose) espically if you are carrying a firearm. No tellin what some inexpierenced loss prevention officer would do with a loaded weapon.
Step 2: When the appropiate LE get on the scene ( Not Mall Security) you say to the officer " Officer I want you to know that I have a CCW license and I am carrying my weapon on me. What would you like me to do? Then do exactly what the officer says. It would be a good idea to have your CCW Permit and DL out before LE get on the scene so you don't go reaching for your wallet.
Always remember you have a right to refuse consent to search your person. Always act defensively if someone advances towards you. How do you know they are legitimate LE?