Unfortunately, even if he can't get your car started, he may have already done enough damage that you won't be able to either. Consider an armored collar to prevent this. The permanent type is better than the manual, which has to be taken off whenever you drive. Prevent amateurs and kids looking to joyride with a steering-wheel lock. Make a lot of noise.
Car alarms are very common and come with a wide range of options.
Motion, door-open and impact sensors are the most common. Install an alarm worth having. A backup battery is important your alarm is useless without one if a thief unhooks your battery. Remote keyless entry is handy and a pager will tell you when your alarm has been set off. Make sure it's hidden, though, or a thief can find it and easily bypass it.