People around here keep those in their "car steeling" bags. Along with ECU's fuses and all the other little things you guys have said. The shifter lock is very cool though and I have never seen one. It would only take me about 5 mins to remove a shifter and stick the car in 1st gear to get it far enough away to strip it though.
If someone is going to steal your car, and want to bad enough they will just bring a flat bed and pull her right on up.
Tracking a stolen car is more realistic then stopping a thief.