Yep a few have been and its usually when your house has been broken into and your keys stolen rather than "the old fashioned way". Most modern cars are very diffcult to steal that way so the safety of your keys and locking yourself in (I'm sure one has been car jacked before) is aparmount.

Bits like the spoiler, fogs, reflectors, bumpers and rarely the wheels are nickable too so perhaps an alarm rather than a steering lock is the way to go?