Typically that would only happen if it was very early on in the financing term, usually to the extent of taking the vehicle and then never making any payments at all, maybe especially where it turns out you're not living where you said you were, etc. That kInd of situation makes it fairly easy for the State to prove you had the intent when you took possession of the vehicle to essentially steal it (that you never planned to make the payments). If it's just the typical situation where you purchased the vehicle, have made at least a few payments, and there's no evidence of fraud on your part, that's pretty unlikely, because try won't be able to show criminal intent on your part--they'll just reposess the vehicle. Be aware, though, that there's a separate criminal offense associated with trying to hide property that ha a lien interest so that creditors cannot reposess it, and that if that's what's going on, it's totally separate from a theft offense and subject to different things that have to be proven (your intent at the time of purchase would be irrelevant).
As noted above, this would typically only occur in a situation where you leased the vehicle and then never made a payment and it appears that you never intended to ever pay.
More likely than not, you could be sued for breach of contract if you're not paying and the vehicle will be repossessed.
This sounds like it was a deal with a smaller dealership because you're making payments to the dealer directly. If that's the case and you can make the payments, you should. If you can't you shouldn't talk with them because they can testify as to your statements if it ever went to court.
Although my intent in answering this question is to aid you in the legal process, my answer does not establish an attorney-client relationship in any way. You should seek the advice and counsel of a qualified attorney in your community to evaluate your legal needs and to advise you. No Attorney-Client Relationship is created without the specific intent of both parties.
They could file charges. One factor would be if you tried to return the vehicle but the dealership refused to take the vehicle back. Another factor is the dealer sent notice to you requesting the return of the vehicle and you refused to return the vehicle or refused to make payments. You should consult with an attorney before you are indicted. Once indicted, only an acquittal will allow you to get your record expunged.