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If a thief wants to steal a tractor they are going to get it. All you can do is make the process more time consuming. Thieves want a quick steal, not one that is going to take a while.
Some things you can do are:
1) Remove the battery and take it with you.
2) In lieu of battery removal, install a hidden safety switch to kill the power.
3) Jack one wheel up, remove one wheel and take it with you.
4) Depending on the tractor size, if small enough you may consider buying a 20' shipping container and lock it up inside.
5) Get full replacement insurance for the tractor and ask specific questions about how theft is covered.
6) Install a LoJack system on the tractor. (Expensive, can be defeated, can't be well hidden on a tractor)
7) Pull the main fuses and take them with you.
Its a sad world we live in where there is always someone willing to steal what someone else has. All we can do is make it harder to steal.