this is bit more work than just the earth switch on the relay, but i think its a much better option.
http://www.ae92gts.com/downloads/cutout.doc
you basically hide a toggle (momentary) switch under the carpet somewhere, and everytime you try to start the car, you need to press the button for the fuel pump to work, hiding it under the carpet means you can just knock it with your foot so know one knows what your really upto.
best thing about this is, you dont have to remember to flick any switchs to disabled the fuel pump, it happens automagically when you turn the car off.
another more comlicated approach i have seen, which only prevents theives from pushing your car around, was to have some normally closed hydrolic open/closed valves on te brakes lines after the master cylinder, but before the proportioning valve, when you turn the car off, apply hrd braking then turn off, the valves close lockin all four wheels
one thing i dont like about that though i needing 12v to the valves for he brakes to work, what if the battery runs flat etc.