The Best security is having good neighbours you can rely on to call the police if something is happening while you're not there, luckily I live somewhere nice, my workshop is in a very secure garage attached to the house, a much lower risk than a shed.
If your workshop is a shed, making a lockable toolbox within it is a good idea, there are endless what ifs, ultimately it comes down to, make it difficult for them to steal your stuff or don't.