Actually "I want that" doesn't mean "sore kudasai".
"sore kudasai" => (please) give me that
"sore hoshii" => I want that
□ I want that:
sore hosii （それ欲しい）
sore ga hoshii desu (それが欲しいです）
□ give me that (please):
sore cho-dai （それ頂戴）
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?
kore moraeru? (これ貰える？）
kore wo itadake masuka? （これを頂けますか？）