Unless you have some sort of auditing in place, you're going to have a hard time showing what has already been taken off the computer.
It might be wise to lock down the USB drives to prevent 'pen drives' being written to, I'd do the same with with the CD burner, too. On the human side it might be worth reminding the employee of the contract he signed when he joined, and that giving/selling your company's data to others would not be a good idea. I'm assuming he'd have signed such a document, it's pretty standard stuff.
Carlsberg don't run I.T departments, but if they did they'd probably be more fun.