We had one of our two strollers stollen last year from outside of Shutters at CBR near the start of our trip. I couldn't believe it! I had researched the heck out of strollers and bought those strollers especially for our trip and had the clasps to hook them together - needless to say, I was a bit distraught when one went missing.
They wern't the most expensive strollers, but we really needed both for them for our 2 and 4 yr. olds. Luckily, a great manager was working that night at CBR and had an employee go out and buy us a new one from Target - although it was just a $20 type - he didn't have to do that - but it really helped us get around, although not nearly as easily and comfortably as our original stroller. (The folks at the restaurant just kind of told us "too bad" , can't do anything about it. So if you do get one stollen, it may matter which CM you find - some will help, others will just say Disney is not responsible.)
After that, I started taking one wheel off our stroller when we parked it to discourage someone from taking off with it. IMO, locking and unlocking it every time would be a pain, so if you can remove something like a wheel or handle and take it with to discourage someone from wanting your stroller, I would highly recommend it. Plus, it will give you peace of mind when you are away from the stroller. It is sad that you can't trust other visitors at a wonderful place like Disney.