firmware password
If you are worried about your laptop being stolen, or security on it in general, then I would suggest this starting action: use a firmware password. You can find more info on how to set this up on Apple's website with this article:
Setting up firmware password protection in Mac OS X. What this does is prevent the computer from being booted from an external source (install DVD, another computer via firewire), making it difficult for a thief to wipe your data (and thereby avoid something like Undercover from working). If they're savvy enough, they can physically replace the hard drive though.
The caveat of using the firmware password is: if you forget the password, you're screwed.
There are numerous things you can do to protect your data. One simple thing is to avoid using your account as Admin. Leave the Admin account as a separate one and make your day-to-day account a 'Standard User' one. There are more tips available on the Macword webpage:
I will keep my Mac safe from other users
On top of the firmware password, and some common sense prevention measures, installing something like
Undercover or
MacTrak seems wise to me. If your computer is stolen, that will suck but doing all you can to safeguard your data and hopefully get your computer back is worth the effort, especially if it results in you getting the machine back, or at least your data, in tact.
Lastly, KEEP A REGULAR BACKUP of your work. Once a week should be sufficient, or everyday if you're doing something reeeeeally important (like writing a thesis or something). I help people with their Macs as a side job, and I can't say how many times they've done something to ruin their files. My first question is to ask if they have a backup and the usual response is, "I'd meant to do that [but never got around to it]". It especially sucks for them if they kept all their photos on their now-defunct drive and nowhere else. Consider keeping your backup, or another copy, somewhere
different than where your computer usually is in case of a fire, flood, etc.