You have to make a distinction between casual "inappropriate touching" and actual proper thievery. Sadly, Westfield's do get nicked occasionally, normally by someone out to nick your Westfield IYSWIM, they might not know quite what it is, but they'll have a good idea they can flog the bits etc. That side of things is a whole long thread in it's own right. And ultimately, if they really want it, they'll get it.
On the other hand, "inappropriate touching", you know, the sort of thing where you come back to find someone sat in the car making brumming noises, or kids climbing all over it etc. Up to and including the sort of knob that decides he fancies doing a few donuts in it, or having a quick spin round the block can be put off with a few simple mods.
Do not underestimate the power of the tonneau cover, (on an aeroscreened car or even on a windscreened car if the roof is down). As Brian says, it acts as a magical cloak of darkness, though perhaps it says a lot about the British, but that simple piece of vinyl, fixed on with poppers and zipped up down the middle seems to put almost all interlopers off. I've yet to ever see a stranger open a tonneau on someone's car!
Add to that, just in case anyone does chance their arm, a removable steering wheel, and to a lesser extent, an FIA cut out key, (though TBH, they're so cheaply available, I wouldn't bother fitting one just for security purposes).
I then add a stout motorcycle chain and lock, particularly if I'm away from the car for any length of time; looped through a rear wheel, then the RAC roll bar, stops someone just easing the handbrake off and rolling the car off. I'll also thread it through the steering wheel - which is in the boot box, if carrying the wheel is impractical.
(And lastly there's one or two other little security measures I take, but that's not for an open forum!)