Lots of folks know I do this for my peace of mind, so I'll throw it out again. I lock my Mac and Pliko, but not the wheels. I use a long-hasp combinations padlock across one of the back fold joints, which prevents it from being folded. (Which means that if someone does take it out of the park, it's unlikely to get any further than the parking lot, where Disney can find it and return it.) I lock it once when we arrive at a park, and except for the MK train, I never need to unlock it until we leave the park.
Both of my best strollers have fabric not common in the US, so no one is likely to take either of them by mistake. However, something I always do for each trip, while I'm making laminated luggage tag slips, is to create a LARGE (5" x 7") ID tag for the stroller. It shows our last name, resort, and dates of stay. I usually have a little fun with it and add the resort logo, too. I attach it tightly to the handle with a profusion of metallic curling ribbon. The ribbon is impossible to get off without scissors or a knife, and it glints in the sun, which helps me find the stroller more easily. Anyone pushing the thing would notice the ribbon immediately, because it will fluff up against one's hand.
Most "thefts" in the theme parks ARE a case of mistaken identity, but not all are; there are also people who like to "borrow" a stroller for the day or even their entire trip. In the past these boards have had many postings by people whose marked personal strollers turned up abandoned at the end of the day at a park other than the one where they went missing. What that should tell you is to be sure to mark your name, address and phone number on the stroller so that it can be returned if it is found. I permanently mark all my strollers by using a couple of return-address labels stuck to the underside of the frame.
BTW, I understand that there is sometimes a problem with the targeted theft of high-end strollers outside the restaurants and shops at Downtown Disney. You don't have to pay admission there, so it's a much more logical hunting ground for thieves who want to resell them. Be more careful with your stroller there.
PS: Don't bother with the "fake dirty diaper" trick. It's so well-known now that it has become a total joke. It wouldn't stop a deliberate thief for a minute. The thief would just stop at the nearest trash can and toss it, because who would suspect anyone doing that of trying to disguise a theft? If you saw someone trying to remove a tag or ribbons, *that* would make you suspicious, but throwing away a dirty diaper?
), I will still bring our stroller, but will not leave anything of value in it.
. As I said, we have always been fortunate and felt completely safe leaving our strollers. This time, however, we will try to make it more distinguishable, just in case somone gets "confused" 
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