> Maybe emailing it to an outside address
Easily detected.
> sharing it as a document via Dropbox or similar
If you use a TLS-inspecting proxy/VPN, this will be detected. Otherwise, it depends on how much monitoring is going on, but at best they could suspect it.
> Copying to physical storage?
At my work, USB drives are disabled by MDM.
You could use transfer the files over SSH. Even if you have an MitM SSH-inspecting VPN, once the SSH channel is established, you could tunnel a second SSH connection through the established insecure SSH session.
Even then, with enough logging, you could detect that all local files were accessed sequentially which would raise a red flag.
There's nothing you can do to prevent insider espionage that wouldn't raise false positives and block legitimate work, but you could at least detect it.