STEAL my prefix and go high.
STEAL my suffix and go bye.
STEAL my infix and go die.
Leave me be and go STEAL!
One homophone alert in effect.
I think the answer might be:
SHOPLIFT
STEAL my prefix and go high.
Remove ('steal') 'SHOP' to leave LIFT (i.e. raise up high).
STEAL my suffix and go bye.
Remove 'LIFT' to leave SHOP, meaning 'buy' - a homophone of 'bye' (acceptable as per the OP's fair warning in their post).
STEAL my infix and go die.
Remove 'PLIF' and you have been SHOT (and might die...).
Leave me be and go STEAL!
Leave the word intact: SHOPLIFT means to go out and steal from a store...