Close all windows, lock all doors, and take the keys with you.
Never hide a second set of keys anywhere on your car.
Never leave your car's engine running even if you will only be gone for a minute.
Park in well-lighted areas.
Activate any anti-theft devices you have.
Push or recline your passenger seat forward; if you return to your car and the passenger seat has been returned to its normal position, chances are someone has entered your vehicle.
When approaching your vehicle, have your keys in hand.
Before you invest in any alarms; check with several established companies and decide what level of security fits your needs.