DMing? Or babysitting? How do I reel one of my groups back in?

After my DM had a family situation come up, I covered for his game for a week and had one of the best sessions I've ever had or played. People were role playing, engaged in the story, and the DM got to play for once and loved it. We had an interesting combat, a chase scene, and a fun battle with a Dopleganger. So much fun.

Now to the game I DM for. I spent months world building, writing NPCs a myriad of story options, hooks, and maps, and the players who begged me to DM for them decided to throw away all story options given to them through the game, complain when they commit crimes and are punished for them, or can't afford the really expensive magical item in a store and pout about it.

Night and day with those groups.

I was asked for a fun world to become adventurers in and they are playing like they just want to light stuff on fire and and just have an open "I can do whatever I want and not be punished for it" world.

When your groups commit crimes or pouts too much about the story not going their way and it's self inflicted, how do you deal with the PCs? Do you have the police come after them or arrest them? Do you use that moment to launch into another adventure completely (toying with the idea of exiling them to the forests of the CoS campaign)?