Actually "I want that" doesn't mean "sore kudasai".
"sore kudasai" => (please) give me that
"sore hoshii" => I want that
□ I want that:
<casual>
sore hosii (それ欲しい)
<formal>
sore ga hoshii desu (それが欲しいです)
□ give me that (please):
<casual>
sore cho-dai (それ頂戴)
<formal>
sore wo kudasai (それを下さい)
But generally we are apt to say "I want this" as a question. It would be the same as English. For instance, people tend to say "May I have it?" instead of saying "please give me that". In Japanese, most of the time, we use the same way as they are. Below are the examples.
□ give me that => May I have this?
<casual>
kore moraeru? (これ貰える?)
<formal>
kore wo itadake masuka? (これを頂けますか?)