Dear all, OP here. Thank you for your kind suggestions.
I worked from home last Friday, so I let her have it for another day. Monday, I went to her desk and asked her if she had got herself a coat over the weekend because I wanted mine back. She said "oh, you can have it back". No "thank you" and no "sorry". But it's fine, I have my coat back. I have sent it to the dry cleaner and locked everything else that's not office supply in my cabinet.
I have to say I am a person who hates conflicts to an extreme point. I think it has something to do with the culture I was brought up in. I was always taught to be tolerate and not to fight. I do understand that's very different from being taken advangtage of.
Thank you all so much for the understanding! I will work on standing up for myself from now on.