Ultimately, if someone really wants it, then they'll have it. Any security measures will only really serve as a deterrent and slow a thief down. Probably the most cost-effective by far is a simple isolator switch, hidden in plain sight and labelled as something inconspicuous (e.g front fog light). Combine this with a good category 1 alarm system (insurance discounts) and all but the most determined thief will most likely give up. Still doesn't stop someone lifting it onto the back of a truck though.
"Let's take this bank back to out hideout, we'll break into it later!" (The Simpsons)