HI! We have a nice double stroller that we took to the parks with us, we always lock the back wheels with a bike lock, so it can be moved by the cm's. It worked great!
Although I have heard of a stroller or two being stolen - it is certainly not the norm. It would not prevent me from what I consider the convenience of taking our own stroller.
Since we fly and there is always the chance of anything checked being damaged, we try to ake a cheapie stroller so that IF anything would happen to it, it would not bother us terribly and we could always buy another cheapie at K-Mart or Wal-Mart and still save money on stroller rental at the parks.
My friend's stroller was taken outside of CRT in June. I'm still going to take mine. We bought a ski lock that goes thru the wheels so it can be moved by CM's but not easily rolled around the parks. The lock also goes around the back frame to the wheels so it can't be collapsed when locked. Probably not the best lock or system but at the very least it may deter someone from taking it.