As a licensee, you are being trusted to use your best judgement of the situation.
Do you need to lock up your station?
If you look at the FCC enforcement actions in http://transition.fcc.gov/eb/AmateurActions/ you will notice that most of the actions are warnings. I would think that if you had children, and your child was found talking on the radio without your supervision or a license, you would (a) realize that you had better educate your child, and (b) could go to the expense of locking things up as a good faith response to a warning from other hams or the FCC.
People who are fined either had multiple warnings or are usually alleged to have done something egregiously wrong, such as interfere with a genuine distress call or transmit profanity at children or organized nets. When fines are given out, they tend to be many thousands of dollars.
Please note that this is not intended as legal advice. I am not a lawyer and I do not know your particular situation. This is a general observation from the tone of the FCC enforcement website and my 25 years as a ham. The tone of enforcement could always change in the future.
How to lock up?
A used, enclosed 19-inch equipment rack can often be found fairly cheap.
A friend of mine has an enclosed rack cabinet about 7 feet tall in his garage. The cabinet encloses two HF radios, a VHF all mode, a UHF all mode, amps for VHF and UHF, a tuner, a rotor control, a 50Ah 12V battery, various switchwork, and a solar charge controller. It also has a keyboard and flat monitor in a slide out drawer.
And.. I believe it has a lock on the front.
Most people, though, don't go to this extreme. One advantage is that it is not too obvious what might be in the cabinet when it is locked, although I suppose a locked cabinet with wires going inside might still look interesting to a thief.