It's not just the van that's a pain to lose. There's all the gear inside. Even low value bits and pieces that may have been gathered over many years.
Earlier this year I bought a Disklok steering wheel lock, about £70. It has a high rating from the Thatcham security outfit, ie takes longer than most to remove. Expensive, but cheap compared to a theft. I can't see how it can be removed without completely wrecking the steering wheel and rendering the vehicle undriveable.
I fit it everywhere I park, even when nipping into the butcher's on a Saturday morning, while other people nip in and leave their engines running. I have a nasty streak in me that fantisizes about jumping into their vehicles, driving them away, and abandonning them a couple of blocks away.