I think in all the years that I have been both "lurking" and active here on the DIS I remember exactly 1 instance of an ECV being "stolen" - and even then it was a case of mistaken identity (someone grabbed the wrong identical unit) as I recall.
You can - and should - always take the key with you. If your ECV doesn't have a key (mine does not) then you can do like I do, and disconnect the battery, and I tuck the battery cable away so that it isn't easily visible.
Some folks place a "Tile" or other GPS tracking device somewhere on their ECV.
And always try to park in an area where there are visible CMs - it won't stop someone if they are determined, but most folks don't want to be "caught in the act".