A combination of security devices is the best way to go. You want to make it as hard and time consuming as possible to steal the car. If you make it hard enough then most thieves will look for easier pickins.
What really worked for me back when I was driving my car daily was paranoia. Running out to check on it every half hour to hour or so.
For items inside the car, stealth is the best way to go. I ran around for years with thousands of dollars worth of stereo equipment in the car. It was all hidden very well you could not see anything but the head unit and I never bragged about it or showed it off to anyone but real close friends.
Its a gutted street racer now that never leaves my line of sight when out of the garage so its all good.

 

I agree the more stuff the thieves have to break though the harder its going to be. Granted if they want the car bad enought absolutly nothing will stop them, you just have to learn and accpet this IMO. But like revtime said mutliple layers of security is the best way to go. I'm not going to post the security on my car on the open net but if you would like I'll talk to you privately to give you some ideas. But I do use the club for the stearing wheel, and break, alarm with multiple leves of security in that alone, and lots of other stuff. Takes me nearly a minute to disable all of them just for me to be able to start the car with the key and its about to get even more complex since there has been a big rash of car break ins in my neighborhood in the past week or so. And also like revtime said keep valuble stuff out of sight. Subs and amps fully exposed in the back window or back seat just wets their appities and want to see whats in the rest of the car.