I worked at an AMC theater when I was in High School. The "no outside food" sign was up, but we didn't search anyone's bags. My manager told the guests the main reason was the liability issue over spilled outside food, but I'm sure it was more because of $$.
Unless you're obviously carting in a bunch of food (McDonald's bag in your hand), no one is going to say anything. I see no problem with discreetly bringing in small snacks that don't make a mess in a purse or something, as long as the trash is disposed of properly.
I definitely would not consider it unethical.