Here is my thoughts,
Do what you can to make it difficult or time consuming to steal. Make sure your insurance coverage is tight and up to date. Remove the wheels if that is not too much of a pain in the butt.
Have you considered a GPS tracking system? I think there was a recent discussion on this. I've also started removing my safety chains completely off my trailer when parked for extended time periods. I have seen videos where thieves just wrap the safety chains around the truck hitch a few times and off they go.
I have a wheel boot and hitch lock on my cargo trailer, but at the end of the day it can be stolen if they really want it.
Hopefully somebody can give you some better tips.
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