You can take a cable and bike lock and lock at least two wheels together so it can't be easily rolled out of the park. You can't lock it to anything, like a railing, because the CM's regularly move the strollers if they are not parked in designated stroller parking areas, or within those areas, they will move them around to make room for more as people come and go.
We have never taken uber expensive strollers to WDW and no one has ever bothered ours, however that isn't to say that stroller theft doesn't happen there. I would recommend marking your stroller to identify it easily (we didn't do anything fancy, just put one of those luggage "smart tags" on ours, and wrapped a bright colored bandana around the handle to make it easy to spot). Never leave anything important or valuable in the stroller because it could "walk off" even if the stroller doesn't.
hth
