Umm I actually had one of those PIN code alarm installed in my RX7. Same as the ones in the WRX, but after one night of heavy drinking with the boyz...I couldn't remember my code.... naturally, big dramas followed!
I guess my tips on car security is to have a quality alarm system installed by a professional and if possible keep the car in a lock up garrage. Also, as previously stated, keep the keys in a safe place where it is not obvious to other people.
Cheers