A simple, relatively cheap and effective deterrent to the opportunist thief is a hitch lock. A hitch lock will help to prevent a caravan from being quickly coupled up and towed away. Some hitch locks have a tamper alarm for added security which sound upon an attempt to remove the device.
Another alternative is to consider corner steady locks as well. These lock down the rear corner steadies of touring caravans thus preventing the front of the unit from being raised. As a result of this anti-lift device, it is not possible to hitch the caravan to another vehicle without the lock being removed.
Many insurance companies insist on a minimum level of caravan security in order to validate an insurance policy and you should check your policy wording to check on what is required.