Yes, smuggled art in. He managed to get pieces in the Metropolitan Museum, the Museum of Modern Art (MoMA), The Brooklyn Museum and the American Museum of Natural History. Some of them were undetected for days. He did spare the Guggenheim, though, saying "I would have had to appear between two Picassos, and I'm not good enough to get away with that."
Banksy, if you're out there, if you ever get the urge to hang anything in my area, you let me know, I"ll be an accomplice for ya.