A thief will steal anything if he has a call for it. A lot of theives take requests, so to speak. A thief will steal anything marketable. The best thing you can do is have good insurance, because there is no security that will stop a talented thief. Alarms, pagers, guns, dogs, none of it will stop a good thief that really wants your bike bad. The best you can do is make your bike harder to steal than the guy across town who has the same model.
You can buy big bolt cutters at Harbor Freight for $20 that will defeat most chains. A portable oxy/act torch set can be had for $200 that will defeat ALL chains. You can cut a chain, making almost no noise in less than a minute, and that doesn't trigger the alarm.
But a thief doesn't usually have to worry about such things. Eventually, you leave your bike somewhere, with your guard down. Maybe at a bike night, or at the store when you're just running in for a pack of smokes. A van rolls up, 4 guys jump out with 4 foot sections 1" iron pipe. They put the pipe through the wheels and the guys lift the bike like pall bearers at a funeral and put the bike in the van. Doesn't matter if the steering is locked. Maybe your alarm is going off. But it's tough to hear in the back of a well insulated van. Van is off and moving. Bike is already being stripped. Chances are, before they get where they're going, they'll have found and disabled the alarm. In well under a minute, the bike is gone. If you have an alarm with a pager, chances are by the time it tells you somethings up, it's too late. You'll be lucky to even come out in time to see the van driving away. You can write down the plate number, but it's plate they stole from a car in a parking lot around the corner.
I tell you this so you know that when parking in public, aim for a place that doesn't have easy van or truck access.
They don't care if your bike won't start without the key. They can sell the wheels, suspension, brakes, controls, and plastic and scrap the rest.
When I used to sell bikes, there was an epidemic of young people buying sport bikes and not getting full coverage insurance because it's expensive. It' a real shame, because so many bikes that end up stolen, belong to people who have no coverage. So they end up making 60 monthly payments on a bike they don't have.
Bottom line, get good insurance. If you can't afford to have your bike stolen, and you can't afford full coverage, you can't afford to ride.