Of course use a password to open your mac.

And of course use autolock when you leave your mac for some period of time.

And of course in icloud, activate "Find my mac".

Now for the goodie: In System preferences/Security and integrity/General , Unlock the padlock, Say yes to Password after screensaver kicks in, yes to write a messege on the locked screen and yes to turn off automatic login.
Write a messege, pehaps like this:

If found pls call +xx xxxxxxx , Computer will be wiped, bricked and of no value if stolen.

 

This is the best you can do to make life harder for any thief.