In order of effectiveness:
1) Use 15mm cable, available from any lock or hardware store, to loop through your wheels as shown. That will not only prevent people from driving it away, but more importantly, it will keep people from pushing it away to either put it in a carrier or to tow it away (or to try and figure out how to hotwire it in a dark alley and man, is that easy). Park your car with the front end positioned so a tow truck can't get it front of it. Yes, it can be cut, but not easily, and for added peace of mind while travelling, cable it to a telephone pole or your friend's car. Cost: Less than $50 for the the cables and a decent lock.
2) Ignition kill switch hidden somewhere. Used in conjunction with #1 and you have a very effective deterrent system. Cost: Less than $10.
3) Quick Release Steering Hub -- take your steering wheel with you. Cost: About a grand (ERA, that is, but it is a wonderful hub
).
4) Car Cover, at least it will put your car just a little bit out of sight. Cost: $150.
