Its always been a major problem in Sydney, especially for GTR drivers
Don't let people know where you live, keep the doors locked while you're driving, don't give out your rego (can be traced), make sure you've got suffient security to stall/confuse/scare off potential theives, don't leave it anywhere a tow truck can get to (always in garage), use a video camera system, trip wires, in ground pole, the list never ends...