Don't leave your spare key in an obvious place at home - burglars know the common places to look for keys so they can take the car as well.
Call the police and your insurance company as soon as you realise your car has been stolen. This can increase the chance of recovery.
Install security on your car. An alarm and immobiliser are good deterrents as a thief can see the warning lights. If you have a steering lock, use it. Thieves are less likely to break into cars with visible security on them.
If you have to park on the street try to make sure your car is under a street light or in a well lit area.