NOTE: THIS IS FOR YOUR INFORMATION ONLY, FOLLOW THIS ADVICE AT YOUR OWN RISK
Get a pager alarm, a .45 HK or Glock 31 (UMP 45 or M4 carbines are perfect for the job if you can afford either), and a rusty old six shooter. File the serial number off the six shooter (make sure the six shooter is not traceable to you... do not register it). Then when the pager goes off start firing. Aim at the legs. When the thief is down put a few in his chest. Do not attempt this if you're a poor shot; make sure you wear level 3A kevlar if you chase down more than one thief, or at the least find some concealment before firing. If you shoot him in the back cops won't fall for it, so make sure to shoot at the legs until he goes down and then take care of business. If you live in the ghetto like me you'll have at least 5-10 minutes until the SWAT show up, regular cops usually won't respond to gunshot calls in bad neighbourhoods (you may want to check where you live relative to all police/SWAT stations). Make sure to dischage a couple of rounds from the six shooter while holding it in the thief's hand (to leave gunpowder residue on his hand). This way you survived a gunfight... while you actually gunned down a fleeing thief. Make a good story about how you asked the thief what his business was, he started firing and you responded in kind. Good luck...and stay away from my cars!!!!!!!
For those of you with military training: yes you can fire saboted 9mm rounds from a 10mm cartridge and avoid leaving any rifling marks on the rounds; with some chance of a mishap you can fire SLAP or SLAP-T rounds out of slightly modified M82. Just make sure you get a sabot extractor for your silencer, use subsonic rounds, use your brains when choosing your firing location, and you'll never have to deal with cops...just shoot away.
Anyone who wants any of my family's cars with so many more expensive cars around deserves to die from a gunshot wound to the face.