There's a reason the majority of the old Faery tales involve death, being lead off to unknown lands by the Fae and becoming trapped, being enchanted and losing yourself, being attacked, attacking others, etc... They aren't like Tinkerbell.
The behavior will depend on which type you're working with, and your relationship with them. It doesn't sound like you've built much more than drawing their attention for the time being, so it may be a bit early to try and build a ritual around them/with them. It is entirely possible for you to go about your own rituals and let them know they are welcome to join in if they are moved to.
Things going missing can be a Folk thing, or it could be a normal human-misplacing-keys thing, or both. If you blame them, it won't stop happening. Leaving an offering can help with that.