You know, when I ran the night crew at the local Home Depot, I would let my car warm up as I made the rounds around the store, making sure everything is locked up and cleaned. Never once worried about anybody stealing the car. My secret?
10 minute (well, 9:50 really) turbo timer. Start car, wait for everything to cycle, switch on to manual timer, turn off ignition, turbo timer starts counting down. Lock car, walk away and no need to worry.
Granted, I live somewhere where a stolen car is about as common as a day that the wind doesn't blow (which is to say, VERY rare), so I never really worry about my cars around here, at least not about being stolen.