Your best bet to protect your gear against theft is never leaving it unattended, but Lifehacker reader Time Pilot AKA explains how he uses a clever screensaver as a theft deterrent for his Kindle.
This is my Kindle's "theft deterrent". I jailbroke the device so I could install my own screensavers, and now whenever I turn the Kindle off, this label appears on the screen. It's a perfect illusion... the e-ink display makes the text look like it was printed right on a piece of light-grey cardboard.
For reference, here's a dead easy guide to jailbreaking your Kindle (and installing your own fonts/screensavers). It's literally a two-step process.