Has happened, but not that often
I remember reading about at least three incidents where a jockey 'borrowed' a whip from a rival
Two in the UK & one here
Some years back Shane Scriven received a hefty ban for stealing an apprentice's whip during a race at Ipswich
Didn't help the first one (Davy Russell) in the UK, finished unplaced & copped a suspension
Then of course there was Lester Piggot, Piggott stated the other jockey didn't need it, Piggot's mount ran 2nd
Didn't wash with officials who relegated Piggott to third

And from memory, more recently, Josh Cartwright attempted to borrow another riders whip at a Canberra meeting
Stewards fined Cartwright & warned him the penalty would have been far greater had his attempted snatch-and-grab been successful