I hear more about break-ins than stolen cars. It's always a good idea to keep valuables out of plain view. A Club is good to have anywhere. I have one and use it at home when in Mall lots and stuff.
Not sure if out of state cars are targeted more often. I would imagine that most thieves know many "Florida" cars are rentals. Besides, I've rented cars in Orlando with out of state plates.
Just be aware of your surroundings, park in well lit spaces and away from big vans and such (which block view as thieves break-in).