Konosuba: An Explosion on This Wonderful World! Bonus Story, Vol. 1 (light novel): We Are the Megumin Bandits — Natsume Akatsuki

Someone's stolen Megumin's heart!
Enamored with a supercool masked man from the Silver-Haired Thief Brigade and captivated by the group's outlaw lifestyle, the Arch-wizard resolves to form her own crew of bandits to support her newfound idols. Unfortunately, her "thieves" are problem children all around: a girl who can't make friends, a super-overpowered princess, and a priestess with questionable morals. Can the explosion-obsessed leader of this band of unlikely burglars pull things together when real trouble strikes?