I really wouldn't worry so much about it... still, a little paranoia will go a long way, and if you are seriously concerned about your car getting stolen, try a few of these things. Remember, theives can't steal a car they don't know exists.
1. Park in a garage or guarded lot. What you want to do is minimize it's visability when you aren't in it. This is also possible by keeping it parked off major streets and/or intersections.
2. Most people can identify a few specific cars in the area they live in, and this includes potential theives, so don't drive in a fashion that makes you easy to pick out of a crowd. This includes everything from a blaring exhaust setup to a bumping sound system and reckless or even routine driving.
3. Don't street race.
4. Though there's very little you can do about it now, unusual or rare cars draw a great deal of attention. You'd be better off driving a stock Vette than your Sileighty. People have a tendancy to remember the unfamiliar better than the mundane. (ex. Was a man or woman driving the last BMW M5 you saw? The last Honda Civic?)
My advice to you is to keep a low profile. And get comp, collision and vandalism coverage through your insurance.
Also, you can spend time and money putting together anti-theft systems, but as you suggested, you wouldn't want to show up and watch someone steal your car, lest you be put in danger. Think about this... what's to prevent them from towing your machine off? If they want it that bad, they're going to get it. All you can do then is hope the police catch up to them before they get it underground.