I've been lucky so far with my setup. The BAL X-chocks with long shackle padlocks seem to have done a decent job at discouraging thefts so far. I also leave a token padlock on the tongue as a deterrent.
After I trade in my existing rig for a motorhome and an enclosed storage trailer (where the storage trailer will sit at one locationfor months on end), I probably am going to go with "locking winter wheels" (shipped from the UK) to keep it in place. This way, a thief would not just have to cut the metal plates off and remove the locking lug nuts... but find four rims, tires, and lug nuts in order to move the trailer. A wheel boot can work, but with the UK solution, a thief is foiled no matter how exotic their power tool collection might be.