I locked it in the trunk. I have the same faceplate for my car that Tony (tfabris) ordered. So when it's not in there, it looks like there isn't anything to steal.

To anyone reading: I do not recommend doing this. Do not lock your player in the trunk. Thieves could be sitting somewhere near the parking lot watching people go in and out of their cars and choosing their targets. If they see you lock it up in the trunk, they will certainly steal it because they will know you're not coming back for a while.

When I use my cover-plate, it's not to protect the player (since I always carry my player with me), it's to protect the window from getting smashed for no reason.