This is a good question. I feel very nervous when I leave the RS in the city etc.
I've always used a club lock simply for it's visual deterrence, and have taken out the rotor button for extra insurance at times.
I know locking the doors in an old Escort is about as effective as leaving the windows down, just about any key will turn the sloppy worn lock.
I would recommend a flashing light for sure and some kind of immobiliser.
If you fit an alarm put a different alarm brands sticker on the window.
Remember the ****s will still do damage even if they can't steal the car.