I have a Travoy, so I just fold it up and take it with me (or roll it if it has stuff on it); might be an option if you are really worried about theft. The other obvious thing to do is chain it to the bicycle frame with either a cable (low security, you could even use one of the kind that tethers to your u-lock), or one of kyrptonite chains (heavy; high security).
I think that in general trailers don't have the commodity status that bicycles do, and so are a little harder to resell, and thus stolen less often. Even here in Greater Boston (a relatively bike friendly place, where I see many people with trailers), there are not too many of them on the used market at any given times, so it would be pretty easy to see if your stolen trailer showed up on Craig's List or something.