I throw the PTO switch. The tractor won't start if that switch is set to PTO. I checked with my homeowner insurance company and they assure me that the tractor is covered for theft long as it's on my property. My agent told me that as long as it's not required to be registered with the DMV, then I didn't need a separate policy to have it covered. I did up the limit on my insurance by $25,000 for the full value of the tractor new. It was under $100 a year.
So my best anti-theft suggestion is to be sure you're covered by insurance.