I have Prey installed on my Mac. I love the feature of snapping a pic of the thief when they start using your laptop. Not sure if that works if the laptop is locked, but I hope to never find out.
@andrewett seems like a good idea to allow Guest mode if you've installed this. That way the thief will have some restricted access to the machine, the ability to connect to wifi, etc.. and time for you to get some pics and find out the location
Delphi
Hustle X