I just bought my first BMW, a 2004 Z4 (great car!)

Anyways, my question is this. I would like to find out from a reliable 3rd party source just how good BMW's, anti-theft system is? When I took delivery of the car the dealer saw me taking a "Club" out of my old car and told me "I wouldn't need that". Perhaps that's so, but I figure the club will deter an amateur who doesn't know about the anti-theft system from trying for the car and damaging it in the process.

Normally I wouldn't worry about it and just use it, but I've noticed the over time the club marrs the steering wheel and would prefer to avoid that this time around.