We also have a very expensive compact stroller (yep, Maclarens and their ilk do have major value on the resale market, look at eBay).
Inside theme parks, WDW prohibits locking your stroller to a fixed object, since they need to move them around to make sure paths stay clear ICOE. I thought locking the wheels each time we parked it would be very time-consuming, but I didn't want to leave it totally unsecured, so I worked out a system that makes it fairly tough to steal, but still easy to use.
I agree that inside parks, most 'thefts' are cases of mistaken identity, but if your stroller accidentally makes it all the way to an offsite hotel before being recognized, how many people do you think would make the effort to get it back to you? (Don't underestimate how absent-minded tired parents can get!) Even if it only made it from Fantasyland to Adventureland, who wants to spend park time searching for it? For me, the problem is more that I will worry about it when it is out of my sight and affect my fun, not so much that anything will really happen to it.
Here's my system. First, I carefully ID'd the stroller. I put 3 mailing labels with our name and home address on the underside of the frame, in spots where they do not show easily, and I paint them down with clearcoat so they are waterproof and tough to peel off.
For each trip, I also add one sticky label with the name, phone and dates for our hotel on the underside of the frame. As a fun next step, I look on the 'Net to see if I can find a picture of our resort's logo, then I download it, and I make a 5" x 7" or so laminated card with the logo, with Guest name: XXXXX Dates of stay: XXXX - XXXX on it; and I secure that card with a plastic cable-tie. It is very noticable, and it also looks a tad official, as if the stroller were hotel property that they had loaned to a guest. (These make neat souvenirs for my scrapbook after the trip, and they are great conversation-starters while waiting for your plane.) At the parks, I also will do things like tie gift ribbons or a balloon on the handle to help find it in the crowd. (One tip; the easiest stroller parking for most rides is near the ride exit, not the entrance. For Safaris at AK, the stroller parking is INSIDE the waiting line; CM's take it from you half-way down.) One friend of mine makes a little cardboard sign that says "Reserved for Justin Jones!" and puts in the seat of her stroller when they park it. Her kid loves it, and she thinks that parents would do a double-take before sitting their child in the wrong stroller.
To discourage outright theft, I take a moment when we arrive at each park to put a large neon combi padlock across one of the stroller's fold joints. I figure that if someone does take it, it probably won't go much farther that the park gates when they discover that it won't fold without the aid of a hacksaw. If CM's found it there, I'm sure they would return it to, or at least notify, my resort, so I would get it back.