If you can't think of some clever ways of doing this (and getting around machine restrictions) you probably shouldn't be employed at GS.

understand it and replicate it

Cannot be emphasized enough. They can get you for copying code but not for reimplementing functionality if you understood how it was implemented.

Label it as high risk loan certificates and smuggle it out in a briefcase.

I'm not sure why you would, without Goldman's entire infrastructure (SecDB, Slang, etc) it probably wouldn't be that useful. The only thing you could "steal" is what's between your ears anyway.

You'd probably have to write new code; but you could port the algorithms, which are the distillation of their trading expertise. That'd boost you several years ahead in domain knowledge—and, as GS pointed out, you'd also know how GS was going to trade, which would help you predict market movements.

I suspect the latter wouldn't actually be all that accurate, though, since all those split-second decisions are going to be highly dependent on how fast everything runs, which means your GS emulator can't make the same decisions unless you port everything exactly.

You would also need to replicate the portfolio the algorithm was managing...

use steganography and smuggle it out inside pictures you upload to your facebook

You can't use Facebook at GS... E-mail should work but might get suspicious.