You need a very rugged lock to keep the coach-mounted towbar from being removed from the hitch receiver. Then, you may want some less robust ones to use in place of any clevis pins that your rig uses. This isn't as much anti-theft as it is anti-vandal. There's a class of degenerate that thinks it's fun to remove a pin here and there just to see what happens.
If you don't use locks (and I don't, at least yet, except to secure the towbar itself), have a couple spare pins, and check the rig over after you've left it unattended awhile.
If you DO use locks, spread your spare keys out, within the coach, so you can disconnect the car quickly if you suddenly need to.