I have not heard of problems with wheelchairs being stolen. If you park it, it might not be exactly where you left it when you come back. That's because CMs may move them to keep walkways/fire lanes clear. For that reason, you can't lock it to anything or so that it can't be moved. You could lock it in a way that makes it not usable, as OneLittleSpark mentioned.
I have heard of things (especially bags with purchases) being stolen off of parked wheelchairs and strollers, so I would not leave anything of value sitting on it if it is parked.
Most people use the wheelchair in lines and up to the point of boarding. For the attractions where you need to transfer out of the wheelchair, it will be parked inside the building at the ride exit. Most people getting off the ride are so focused on finding their way out of the building that they don't even notice the wheelchairs. If they do, they don't have any idea of when the person it belongs to will be getting off.