I know you do not want to consider reporting him, but I urge you to do so. If he will illegally enter your home to do this, and to steal your checks, he will do this to other people also. This is going to get him shot. I know you don't want to think he will do this to anyone else, but he is. He is going to tell you that he won't, but he wants the drug money and that want is far stronger than anything else. He sure doesn't give a care about what you are going to have to do to pay for all of those overdrawn checks that he has written. He really doesn't care about you at all right now. He has GOT to hit bottom and learn to change his ways somehow, or else he has to be taken out of society to protect society from him and him from his destructive urges. Sometimes making our children face the consequences of their actions is the best thing we can do for them, even when it is incredibly painful for both us and them.
How will you feel when he walks into some stranger's house and ends up on the wrong end of a gun because he wanted to steal their checks? Given the rise in Stand Your Ground laws, getting shot is more and more likely in many states. I know you don't want that for him. I also know he is probably more likely to go to the homes of people he knows because he might know where to look for checks. Do you want to have to face friends and coworkers after your son stole their checkbooks?
YOU are not at fault here, but would feel embarrassed if he did this to someone else, especially someone you knew. If you let him get away with this, he will probably do it again and likely to someone he knows. It feels awful. I spent MANY years feeling horrible over the things my brother did to people we knew. How he got them to not call the cops on him, I don't know. I think some didn't call the cops out of sympathy for me and for my parents, which makes me feel even worse. Our mother couldn't put down limits/boundaries for him and still cannot and it really is not healthy. I urge you to at least consider doing the hard thing that is best for him in the long run.
I do truly understand if you are unable to do that though.