Simplest thing I have seen work if your e brake works well, is shift the transfer case in neutral. Most idiots who steal things will not understand why it doesn't move and leave it. I leave the keys in mine where ever I go and have yet to have someone be able to drive it off after getting it started. I used to have a battery cutoff mounted behind the glove box but too much offroading makes those useless after a while.
I like the removable steering wheel idea but the problem is the looks you would get while walking around with a steering wheel in your hand while picking up a case of beer at the 7-11.
All of my old VWs, Rovers, & Jeeps have had a toggle switch to the coil. It is the cheapest, easiest, and best thing you can do and it is the hardest to figure out. Most locks can be cut off or worked over so that it will still start. You can't do much is it won't start. The key to the switch is placement. I have used heater knobs, that I did not use, for the switch, mounted them under the seat, buried under the dash, back by the license plate, etc. There are a ton of places to hide a switch and most theves won't spend the time to figure out why it won't start. You might be left with a damaged steering , collum (<sp?) but you will still have your Jeep when you come out.
I saw a great one in a Bond movie-- the car had a window sticker "this vehicle is protected against theft" when the window was broken during a theft attempt, the car exploded into a huge fireball. Seemed really effective.
If you don't want the engine to start, coil cutoff is the easiest. Unlike previously mentioned methods, there is no need to run 2 wires to interrupt the + side of the coil. That method exposes the risk if 2 wires through the firewall, etc. and rubbing/shorting out somewhere along the line, burning up the wire and possibly more and leaving you stranded. Just run one wire from the - side of the coil to a toggle switch and then ground the other side of the switch.
If you're running the Mopar MPFI, that method will fry the coil, so just interrupt the ground side of the fuel pump.
If you don't have time to do it right, how will you ever find time to do it again?
Just take the coil-to-distributor wire with you when you leave. Either that or buy your own wheel clamp.
Either that or pull the rotor.
I dont keep anything of real value in mine and dont lock my center console or doors when they are on. Back in the early 90's I had someone break a hard door window out to get in and then damage the center console by prying it open only to find there was nothing to steal.