I've taken a blanket off the plane before (with permission from the FA) and then brought it back to my connecting flight to be returned. The FA didn't seem to care too much regardless.

I took it mainly because I had an overnight layover (~5 hours) that was too long to sit around but too short to justify leaving the airport, shuttling to a hotel, sleeping for an hour or so, and back. Used the pillow/blanket mainly so I could sleep a bit more comfortably at the airport during my connection.