The trouble is that newer cars are so difficult to steal that most car thieves are either doing the tow truck method or have had to become somewhat adept automotive electricians and are unlikely to be long deterred by something as simple as a pulled fuse.
If you did want to do this, I'd also vote for the fuel pump fuse for the reasons Mr.Josh was saying, but also because if the thief figures out what's wrong and crams a screwdriver blade or something into the fuse holder you might be out a several hundred dollar ECM computer in addition to whatever other theft damage gets incurred in a joyride situation.
I'll also suggest you should try starting the car with the fuel pump fuse out since some cars have strange things where the fuel pump can be powered from two different sources-- for example my old 88 Buick had a fuel pump fuse under the dash and a relay under the hood. The power that goes through the relay was energized only if there's oil pressure, but when the key was turned to "start" power went though the under-dash fuse directly to the pump. So if you pulled the under dash fuse labeled "fuel pump", the car would still start after oil pressure built up.