I lock my 560SL occasionally with the top down, just to set the (factory only) alarm, and usually when the top's up just by force of habit. I actually don't worry about theft significantly, as neither the vehicle or the contents are likely to draw covetous light fingers; anything important I'm carrying goes in the trunk, and the car just isn't that hot for the midnight-auto-supply market. I'm more concerned about simply stopping the occasional idle snooper.
I'd worry more if my tastes ran to a new pickup with blacked-out windows, spinner wheels and a few thousand in boomy boxes..