I think my new neighbors are stealing my WiFi?

[doug v]

Not only should you set a password if you haven't, but you can also turn off the SSID (Service Set IDentification - the network's name). By doing so it will be much harder for him to find your wi-fi. In effect this makes your signal seem to disappear, but once your own devices know it's there they will still be able to connect, but anybody looking for it won't "see" it. Of course you'll have to turn it back on to connect a new device yourself, and this is not strong security, as there are "sniffer" devices available that can find hidden SSIDs, but this kid doesn't sound too sophisticated from your description.
Here is more information abut how to do that (and change/enable your wi-fi password):

http://compnetworking.about.com/cs/wirel...idcast.htm
http://www.wikihow.com/Change-Your-Wi-Fi-Password

These instructions should be of more help than just "set a password".
And while you're in the router setup pages do make sure you're using WPA2 encryption instead of WEP - WEP was strong enough a decade ago but is too easily hacked now. Anything can be hacked, but WPA2 is much stronger encryption.
There are many more articles like the above if you still need help - just do a search for [how to set wi-fi password], [how to log into wi-fi setup], [how to disable ssid], etc.
And as other answer suggested, many routers have a log of IP addresses that have been using the router, so you can see who's been on it besides you and your devices.
Hope this is more help than what you had before... Good luck!