I have never locked mine, but often thought about it. Although it would not be that easy for someone to steal it.
When at campground they would have to put slides in and unhook electric, water, sewer. This would take some time and you would have to awful desperate.
When it is parked at home it would take some time to maneuver truck under the kingpin. I don't leave a lot of room between 5er and garage.
But I guess you really never know. If someone wants something bad enough they will make an attempt to take it.