Don't lend it to your drug dealer in lieu of cash for your latest hit. A not insignificant number of 'thefts' are actually rock rentals that haven't been returned on time.
For actual thefts:
1) Don't leave your car unattended to warm up while running.
2) Don't leave your car unlocked with the keys/fob in it.
3) Take your keys and *lock the car* when you are getting gas.
This will prevent the majority of amateur thefts who are opportunity seekers. Professional thieves tow fairly often. Sometimes with a real tow truck, sometimes with a 'stinger' mounted under an F-250 or similar heavy duty truck. Either way they do a quick hook and go, drag the car out of the immediate area, and then properly secure it or pass it off to a flat bed. Where you live and where you have to park is a big factor here. Apartment dwellers and street parkers are more at risk for the obvious reasons. If you have a vehicle likely to be targeted, park nose in and crank the wheels all the way to one direction or the other before you shut it off. That makes it difficult to drag out of a parking space and pull unsecured since it will want to turn in a circle instead of tracking straight for them. If they have quick lift dollies, it won't matter, but that's more time they spend.
What's a popular target in your area may vary, but Dodge muscle cars seem to be hot around here.
GPS tracking can help the vehicle be recovered, and more likely to get it recovered parked (as in not crashed when they flee a stop). Certain subscription services, such as OnStar, can remotely disable the car. It won't shut it off, it will just keep it from starting again once they shut it off. If it's being used for a joy ride, that'll help. If it's being made in to parts, it probably won't.
Relay theft is a thing, but it's localized and more zebra than horse at this point.
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RevolverRob Thieves do not give a shit about VIN etching. That's something your dealer made up to charge you more for.