Whatever you do, make sure it, or part of it is visible. For the most part, thieves are lazy and if it looks like it's going to be a lot of work they just walk away. There are always exceptions to the rule but for the most part making them work for it is going to scare them off. Get a steering wheel lock dealy, a boot like the cops use, a chain around the rear end to something and one around the k frame, a toggle on the starter etc.
With my Challenger I just lock it and make sure there's always a car between it and the road. Once I have the room it's going to live in the garage, but for now it's in the driveway.
Since my neighbor got broken into I've put up an 8 foot high security fence around my front door landing and topped it with sharpened spikes. It was the most probable way to get in, but now it's going to be a little tougher for them to get in. For the average thief it's going to be enough of a deterrent, but for someone that really wants in it's just going to be a minor inconvenience.