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Yah you can get two kind of paging alarms. Theres the ones that just send a signal from the car to your pager, but they only work within a certain distance from your car. Then theres the other ones...

Fit a CO2 fire hydrant to the alarm and choke the scum to death. :-P

Tip 1: Take all items (CDs included) out of your car and leave the glove box open so they can see there's nothing worth...