Adding an aftermarket radio would give you the benefit of having a removable security fascia to take with you when you leave the car.
Incidentally all new radios come with a robust case to store your removable fascia.
This feature enables you to detach the control panel whenever you want.
If you keep your factory-fitted radio and add a CD or CD/MP3 changer there will be no visible sign of a changer having been added so the risk of theft will remain very low.
There are many anti-theft or theft-deterrence features in many head units.
It helps to know them so that you can choose which best suits you.
I don't know about you, I personally, will not like to have to remove my fascia every time I am retiring or have to leave the car.
There are other measures that I find more appealing.
There are hidden face designs.
In one of these designs, the face goes black once the unit is turned off so when a potential thief looks in all he sees is a black panel.
This fools the thief into thinking that it's just the dashboard and nothing more.
Some other designs allow for the head unit to retract once it is turned off.
Like the hidden face design, it also gives the impression that there is nothing but just the dashboard.
There is no anti-theft design that is foolproof for the simple reason that the thieves also get to know all the newtheft-deterrence features.
But that's the "professional" thief.
An anti-theft design will, however, make a difference in most cases.