Can you steal electrons from the outlet?

You can't steal electrons.  The description of AC is not accurate.  The charges flow all the way from the power station through the equipment and back to the power station.  Although each electron doesn't move far it is only able to move if the other electrons ahead of it also move.
After this continues for some time ( 1/100 of a second) the DIRECTION reverses but the electrons still must make a complete loop.

So if the chain is broken at any point then the rest of the electrons stop flowing.  Hence no electricity.

All photons CAN heat things up.  The energy of each photon is lower at lower frequencies but if you have enough of them they still have their effects.  A microwave oven is well capable of heating things.
Now some other issues.  If the waves can pass through a material without interacting then they won't heat that material.  Light passes through glass so it doesn't heat glass.
UV doesn't pass through glass so it DOES heat the glass.

At various frequencies the radiation may not interact with a human body and those frequencies will not heat it significantly.
X-rays significantly pass though a body so they would add only a small amount of heat.
UV is absorbed at the skin so it will heat the skin not the bodies interior.

Waves from a mobile phone pass through skin etc but they are absorbed by wet tissues such as the brain. These are capable of producing localized heating in areas of the brain if the signal strength is great enough.

You should make separate questions for the two questions you have.

First, you "steal" electrons all the time. Whenever you rub against a carpet and create static electric charge, you are creating a charge imbalance. So if you walk away from the carpet after rubbing on it, you might be stealing electrons. And when you touch a door-knob and get shocked, the charge imbalance is removed. In fact, the spark you see when you get shocked is the same phenomenon as lightning.

However, this simply isn't practical or meaningful in the context of electricity. The charge buildup is almost negligible and no meaningful work can be done. Why would you want to steal electrons?

Second, whether a photon is in the visible spectrum depends on its energy. It just so happened that life evolved to use a very particular range of light in the spectrum of electromagnetic waves - because of the selective transmittance of the light from the sun in the Earth's atmosphere.

Infrared light heats up molecules by exciting chemical bonds - specifically, it induces higher vibrational energies in atoms when an IR photon is absorbed. Other wavelengths of light can be absorbed, then the energy dispersed via vibronic relaxation as well.

Magnetic fields can introduce heat into molecules as well. Remember that light is an electromagnetic wave, and the magnetic component can lead to molecular motion as well. If a molecule has a magnetic dipole moment, the magnetic component will induce motion in it.

===Addendum===

That's not "stealing electrons" then, if you want to use your outlet to power a Tesla coil. That's the same as plugging in any other electrical appliance.

It's also somewhat incorrect to say that light is "made of" photons - it's just one way to represent light. Neither light nor magnetic field is "made of photons." Photons is what mediates electromagnetic interaction.

Finally, light has both electrical and magnetic field components, and IS NOT THE SAME as either one of those. The electric and magnetic fields interact via "virtual photons," which is not the same as a real photon. It is really difficult to explain this over a web forum, as there is limited time/space/attention span. Students take YEARS to understand this concept and the different theories that apply, not to mention that physicists have spent entire CAREERS in coming up with these theories. I would suggest you begin not by jumping on the deep end, but starting with fundamental, classical interpretations of light. Only then can further information such as the wave-particle duality of light can be understood.