Wheel locks are pretty cheap insurance. Get the kind that use the irregular circle-type socket/lug combination:
They’re harder to get through than the ones that use irregular sockets with outside grips. As for alarm, if you want to get one, I usually recommend Compustar. I have one on my convertible, and it’s quite good. It pages me when it goes off, which is helpful because a lot of people ignore car alarms.
Lojack is pretty expensive insurance. I’d have to have a car that’s even nicer than a BMW before I could justify that. We’re talking exotics here, like Ferrari or Lambo. Remember that if the car gets stolen, you’ll get it replaced for not much more than insurance deductible. With lojack you’re paying deductible sometimes more than twice per year, even if the car never gets swiped.