You *can* lock your stroller so that it won't roll or won't fold -- the rule against locking applies to locking it to a stationary object such as a railing or signpost, that, you cannot do.
Back when Macs were unusual, I put a long-hasp padlock over one of the fold joints on it, so that if someone did take they would not be able to fold it, and would probably abandon it, at which point I was counting on it ending up in L&F. There are people who lock the front wheels so that the CM's must do a wheelie to move it, but I found that too much trouble and too time-consuming; the anti-fold mechanism was enough to give me peace of mind. My identifying method was metallic curling ribbon -- I always tied bunches of it around the handles. You should also permanently mark your stroller in an inconspicuous place, so that you can identify it for L&F -- I used little return address labels shellacked to the underside of the frame.
That said, deliberate stroller theft doesn't happen often, but it does happen sometimes. It is more common at DL than at WDW, but in both cases the parking areas around the restaurants in Downtown Disney are the most high-risk spots for theft. Something that does sometimes happen occasionally, especially when it is really hot out, is the phenomenon of day theft, when someone takes a stroller so that they don't have to rent one, then abandons it at the park gate when they leave. (I've gotten all this info from CM's at L&F.)
As to leaving bags in/on strollers while on rides -- don't do it! As with any crowded public place, Disney parks have roving pickpockets who are watching for people who are careless with their things -- while Security is good, they can't catch all of them. Have your purchases sent to your resort or to the park gate for end-of-day pickup. Keep your valuables (including all camera equipment, and things like Pal Mickey and that special blankie) on your person when you go on rides -- a lightweight backpack makes the best park diaper bag. I always recommend leaving the basket of your stroller empty whenever possible; you can more easily fold it for busses, trams, and the MK train.
As for the "diaper trick" -- that is at least 20 yrs. old, widely known as a ruse, and wouldn't deter any kind of thief. WDW has trash cans every 14 feet -- what kind of masochist wouldn't take advantage of them to dispose of a real soiled diaper? Certainly I wouldn't think twice if I saw someone removing such a "bundle" from a stroller in order to dispose of it.
TIA
This was during evening EMH, so we were only there another couple of hours, but we just tied the balloons to railings or whatever we could find, went on the rides, and they were always there when we came back for them!
