I can't think of the number of times I have set off alarms with my exhaust or whatever and no one even blinks an eye-lid.

No one cares these days because the alarms are always going off for no reason. It's like the boy who cried wolf.

I see you having 2 problems....if the car park is always quiet, then no one will be there to hear it. If it is always busy, then see my point above. Unless you can hear the alarm yourself (and react yourself), I don't see any point.

I seriously believe they offer a false sense of security.

Just make sure the MP3 install is descreet (so it can't be seen from outside) and don't leave things of value lying around in the car.

That is probably your best defense and it costs you nothing.