The fuel pump relay is a nice idea in theory, but in reality, any car thief worth his salt knows that trick and will likely carry a couple assorted relays with him.
Same with re-setting the 'park wire' in an auto, if they're capable of defeating an alarm and hot wiring a car, they're capable of sorting that out.
An extra physical deterrent will work better, a big f**k off club lock, a detachable boss kit with a locking hub, shit like that. While both of those can be defeated (a club lock very easily with the right tools), it adds a lot of extra time and difficulty. On top of that there's the fun things like piezo electric sirens in the cabin belting out enough noise to rival a jet on take off... And while that too may be defeated, at the very least it'll f**k up their hearing pretty good, and pretty damn quickly.