They're soooo determined aren't they?
Zorro's trick is to wait till Bella carries a chew in and gets settled, then he jumps around in front of her taunting her and yapping in her ear, until she gets annoyed enough to get up and tell him off, and as soon as she lets him get up again he legs it to her cushion, nicks the chew and sprints triumphantly to the crate (which is sacred, once either of them is in there they are 100% safe from any thieving antics, it's they're unwritten rule)!
Of course if Bella then goes and gets another chew, Zorro has to have that one too, just so that he can lie on top of it while he chews the other one