I also don't have an "inside" yet. Hope to remedy that this summer, but I have to find a builder to build my shop first.
As far as theft goes, I think everyone on my street has a CUT and 80% of them are kept out or in a 3-sider in plain sight. A thief would probably get stuck anyway trying to get my tactor out of my field. I guess I keep it kinda behind the house, but that's it. I don't leave the key in it or anything.
I did get one of those 8X20 storage containers to keep stuff in. I thought about getting a 40 ft one... at 10 ft high I could park in there, but I didn't think the cost nor the eyesore factor would be worth it.
Also, I asked the dealer about it. They said that all their stuff sits outside. He said a tarp is as likely to damage it as keep it nice (through rubbing or something) so I just leave it out in the elements, along w/ all my other implements (plow, harley rake, cutter, BB)