If they want it they get it, bottom line.
The only thing you can do is make your car more of a hassle to take than the next guy's, so hopefully the thief will choose the easier target.
There is NO way to completely safeguard your car. My cousin owns a very high-end stereo and security shop in Manhattan - this is where you go if you want to put a security system in your Ferrari or bullet-proof glass on your Mercedes. And even HE will NOT guarantee your car will not be stolen - no one will.
On a side note - one of the coolest little gizmos he has is an install where if the car is stolen, and a certain thing not done (could be anything from a button on a key fob, to a switch in the car, to a key which transmits codes to the alarm automatically), the rear license plates flip, revealing a scrolling screen reading a message like "this car has been stolen - please contact the police at once!". The thief never even knows it's there - but it's even better than a lo-jack.
My cousin was on a Discovery channel show about high-end car theft a few years back, and his shop was highlighted for it's unique theft-deterrent installs.
If any of you guys have a few grand (at least) to throw around for a security system, I can try to get in touch with him for you. But be warned - many of his installs cost more than our Protege's do off the lot.....
I always use the "if they want it - they'll take it theory". If you take my car, please demolish it. And if you break in to get the stereo or whatever, PLEASE just take it and go - don't trash the car just to be an asshole.
~HH