Very good points. I definitely will be insuring it, but if someone wants to take it, it won't be easy. At the minimum, the would-be thief will have to fight for it.
If I went with locking lug nuts and either the above J-lock, or decent boots, would that be good enough for most cases? Nothing stops a thief 100% (especially with cordless angle grinders that make quick work of almost anything in short order), but I don't want to make it easy for them. The advantage of the "winter wheels" is that even if a thief got them off, the trailer will still not be theirs unless they magically happen to have a set of rims/tires with the same bolt pattern and size. I mainly wonder what the realm of realism is, versus needless overkill (as pointed above, replacing wheels can be time consuming, and requires a torque wrench... and that doesn't have to be done, so much the better.)
There are a lot of storage areas in Austin... but unlike my TT which gets stored out of town on rural property miles away from any paved road, I'm looking to store this small cargo trailer closer to me so it can double as storage on the off season. Even the "secure" storage areas oftentimes may not be, so I rather pack my own parachute in this case.
As for marking a trailer, I don't see if that helps much. A quick coat of glossy white rattle-can, and none of that will matter. Instead, I pull the trailer's license plates and take those with me.