The ultimate anti-theft tactic is to take them home and not stop to get out anywhere. Even locking them in a car safe, you could lose them if they stole your car. Practically speaking though a quick stop in a "safe" place with the guns covered up is probably low risk. That being said, I typically make brief stops somewhere and leave guns in the car. They are never in plain sight.....no need in using my guns as bait.
We went to the Tulsa gun show a couple of months ago. At the end of the first day we were not going to leave our gun purchases in the car at the hotel parking lot overnight. The hotel even had fresh warnings posted around about recent car break-ins. We walked right through the lobby carrying our newly bought rifles.
They were all in gun cases. As we were coming in, we met an older lady leaving out, as she saw us coming in obviously carrying guns, she stopped momentarily and watched us. I made eye contact with her smiled, nodded, and said, "Good evening" and kept walking.