Who steals an egg steals an ox
It's really supposed to be œ for both oeuf and boeuf as the o and e are "liés". Anyways, that saying is probably from back in the day when having an ox was a real big deal and stealing one was an even bigger one.
The verb "voler" means "to steal" in this context but it can also mean "to fly".
You pronounce the "f" in both oeuf and boeuf but be aware that when you use the plural (oeufs and boeufs), you don't! Talking about boeufs, there's another French saying that says: Il ne faut pas mettre la charrue avant les boeufs, which means: One should not put the plow before the oxes, and which corresponds in English to: Don't put the cart before the horse.
Unlike in English where there's a distinction between the animal (ox) and its meat (beef), there's no such thing in French as the word boeuf refers to both.