It depends on the crime. If it was something minor and relatively petty then I would strongly encourage them to hand themselves in as the punishment tends to be far less if you're just honest about things, but I wouldn't inform the police if they didn't.
For bigger things the same applies, it's always advisable to hand yourself in, it results in less harsh proceedings in court and more lenient sentencing, but in these more serious cases it's more complicated whether or not I would get involved... as often if someone commits a serious crime they actually are in need of psychological help and thinking that you can just cover something up and everything will be fine is naive. Also on balance I personally would imagine it's probably easier to spend 10 years in prison than spend 50 years looking over your shoulder.
Of course if it's REALLY petty crime like shoplifting or something I'd just tell them not to be so ****ing silly again and forget about it