May be an alarm system sensible to vibrations.
Or, install an infrared beam (like they have at the entrance of some stores), that will trigger a gong beside your bed, and if it goes on, take your baseball bat and scare that thief.

My friend did something similar. In his neibourhood, there was some young guys (16-18) stealing hub caps on cars on a regular basis. He started to sleep with the window open, and his unloaded .22 riffle.
When he heard the specific noise of hubcaps prying off, he went outside yelling and running after the guys and showing his riffle. The guys were so scared that they never came back.

Just scare them though, or you may have bigger problems...

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