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Mate I have fitted an alarm / immobiliser into a car a while back and had no dramas except for the cheap a$$ switches supplied for the bonnet and boot, so I disconnected them.
I had to re-do the alarm in another car after an auto electrical place in Sydney used scotch clips etc and wrapped wires around and taped them.
You could easily fit a push button style switch under your dash in series with the ignition key start position.
Alternatively, get a half decent alarm ($150-200) and get a reputable mob who solder and shrink tube it, or do it yourself.
You can also buy little red flashing LED things that flash when the ignition is off. (just realised Rodney said this already) That's about as simple as the push-button switch.
Push-button switch & flashing LED would be the cheapest and easiest to do.
You can also buy electrical key switches, which I used once before in the same way as the push-button. Only you need that key, plus your car key.
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I have a central locking/car alarm + a good ole kill switch... but to be 100% honest if they want it they will get it, just dont temp the bastards, BURR OFF ALL BOLTS + LOCKTIGHT THEM .. for anything thats bolted on ( whips, rod holders spottys ) and dont leave big dollar stuff in your car..