I had an old Ruger blackhawk .357 stolen in El Paso, Tx. once...along with my Ford pickup, tools, leather jacket, blanket and pillow(living out of my truck at the time). I'm sure everything went to Mexico. Having to explain to the; MP's, CID, El Paso P.D. about the loaded pistol was a trip (I have to admit everyone was cool about it though).
BUY A SAFE! I agree, it's a bad feeling to have someone steal from you, especially a firearm. Get a good safe (not a Walmart thins sheetmetal one) and make it hard to get to it to do any damage.