You were not arrested and you are not charged with any crime. There is no fine for you to pay. Only a court can issue a fine. What the security guard is referring to is a Civil Demand letter that they will be sending you. You do not have to pay a civil demand letter. It is just an attempt to squeeze money out of you. They will probably send you a few letters and may even call you, but eventually they will give up. It will not effect you in any way if you don't pay.
You know those big cardboard crushers behind the WalMart? Avoid those at all costs...
No, really, it does not sound at all like they are going to charge you. WalMart has all of its stuff back, so they are not really out anything. While the law may allow them to recover with their civil demand letter, I have never seen them sue.
We do not have a client/attorney relationship until you make an appointment, we discuss your case face to face, I accept a retainer, and we explictly agree to enter into representation.