I found that if I didn't lock it, I worried and it dampened my enjoyment of the trip. However, when I tried to really lock it, I ended up not doing it much of the time, because it was awkward to do so in the press of the crowds at each ride. So, I compromised. I lock it upon arriving at the park, and I don't unlock it until we leave.
I lock my stroller across one of the fold joints with a long padlock.
My assumption is that if someone does take it, they will probably abandon it outside of the gates when they discover that it doesn't fold, and then WDW will get it back to me.
I have also asked CM's about how often it happens, and I've been told that it happens pretty often. However, most CM's I spoke to about it said that the strollers do tend to turn up in the lost and found, but usually not until several days after they go missing. (This is in situations where the owners have reported the stroller missing, and the CM's have looked.) Which makes perfect sense if you think about it; people are probably "borrowing" the strollers for the duration of their WDW visit, then abandoning them before they go home. It also makes sense that the majority of strollers reported missing seem to disappear at Downtown Disney, where there is no admission charge.
One thing to make sure you do is to label the stroller carefully with your full name and address, so that if it does go missing, WDW can find you to return it. (I use return address labels on the bottom of the frame, coated over w/ clear nail polish.) I also always put a "resort tag" on it with our dates of stay and the name and phone number of the hotel.
when I didn't see it initially. So, I would suggest doing something to have it stand out in the sea of strollers just to locate it (we used colorful bandana and balloon). 
