Why sabotage a plant if you can steal nuclear material and make a dirty bomb[?]
Because sabotage may be difficult to detect beforehand, and even more difficult to definitively prove as sabotage, apart from human error or mechanical failure, depending on the nature of the sabotage. I believe that a competent saboteur is probably more likely to both succeed and avoid detection/prosecution than would a radiological-material thief.
Further, the trade-offs involved in adding a radiological component to a conventional bomb aren't favorable; the investigation into the theft the radiological material makes detection/intervention prior to detonation more likely, and the primary benefits of a "dirty bomb" over a conventional bomb are higher cleanup costs and increasing panic amongst the targeted populace. Adding a radiological component has little effect on a bomb's lethality. This has been the conclusion of numerous reports and studies; here's the first one I found, prepared by the UN WHO (World Health Organization): Radiological Dispersion Device (Dirty Bomb) - WHO/RAD Information sheet (February 2003).
It's been proven that stealing material is relatively easy.
I agree that this is problematic; Wikipedia states:
"The International Atomic Energy Agency says there is 'a persistent problem with the illicit trafficking in nuclear and other radioactive materials, thefts, losses and other unauthorized activities.' The IAEA Illicit Nuclear Trafficking Database notes 1,266 incidents reported by 99 countries over the last 12 years, including 18 incidents involving HEU or plutonium trafficking."
However, there's no indication as to what's being done with the stolen materials. One thing they're apparently not being used for is the construction and use of "dirty bombs," since there have been no such detonations in the past 12 years. These thefts could be being orchestrated by nation-states for use in their own nuclear programs, or in order to deny these materials to the nations from which they were stolen.
Making a conventional bomb that will contaminate a large area with the nuclear material strapped to it is also known to be easy. The only reason nuclear is part of this is because it's so incredibly poisonous and relatively easy to transport and use in a dirty bomb. There are few, if any materials that will make a DIY explosive so effective as this.
As I've said, "dirty bombs" offer little in the way of improved efficacy over conventional bombs. There are many enhancements that could be added, all of which are generally more effective and most of which are more easily procured or manufactured: shrapnel; anticoagulants (e.g., warfarin) for increasing mortality from otherwise-survivable wounds; poisons (e.g., ricin); chemical agents (sulfur/nitrogen mustard, chlorine, sarin); biological agents (anthrax); incendiaries (typically metallic or petroleum-based).
What is observed in the real world is that — aside from the use of shrapnel — hardly anyone that conducts bombings (beside regular military forces) bothers to incorporate any of these enhancements in the near-daily bombings that are occurring nowadays.
It is also worth considering that among military forces — certainly the most well-funded, prolific, experienced, and effective users of bombs — none incorporate radiological bombs in their arsenals. Both military and non-military bomb users seem to know something that "dirty bomb" scare-mongers do not.
Living on Earth may be expensive, but it includes an annual free trip around the Sun.