IMHO... The best thing to do would be to call the cops first and avoid putting yourself in a dangerous situation if possible, and no it's not chicken to do that. Just because we carry guns doesn't mean we start slinging lead at the first opportunity. If you confront the thief while armed, it could make you look like you were picking a fight. Slamming the door on his legs would be a pretty stupid thing to do. Also, just because you have a gun doesn't make you invincible.
If it was me, here in Indiana... I would call the cops on my cell phone, let them know that somebody is breaking into my car, and give as good of description of the scene and thief(s) that I could muster over the phone. I think that would be mandatory for any intelligent citizen to do armed or not. Then, I'd probably yell at the thief and tell him to get-the-F**K-out of my car and that I called the cops (w/ 911 still on the phone). If the thief tries to attack me with a weapon during this process, then I start slinging lead because then it's a pure self-defense situation. I might be tempted to hold him there at gun point until the cops arrived if I could avoid shooting (maybe).