I visited NSA headquarters once to demonstrate a product AT&T wanted to sell them. One is not allowed to wander in or out of this building carrying DATA, nor may one remove copies of anything. I was checked carefully both coming in and going out. On one of my exits I forgot to leave a floppy disk in my demo room; they discovered it and we took a long, anxious walk to an office where it was confiscated.
Today you can buy USB-connected memory disguised in a dozen ways, from pens to padlocks. And there are many other kinds of small, portable memory, like the compact flash memory cards. It must be getting really really difficult for the NSA to keep people from carrying data in and out, even by accident.
Remarkably, on my trip there, I DID carry out a device capable of copying a document, unnoticed. I had only used it to copy my own papers however (and only by accident). The offending device was a small notebook with a few plastic transparent sleeves inside. The sleeves were intended to hold a illustrations to use with my demo. There was a problem with these sleeves – when you put a page in them, ink from the paper gradually stuck to the plastic and left an image behind when you removed the paper. A low tech, mini copying machine!