Don't leave your keys in with the engine running. It is fairly stupid to pump gas while the motor is running.Legal or not, I would hope that I wouldn't shoot if I was pumping gas and they jumped in it and drove away. Would not want to have to deal with the aftermath. My car wouldn't be worth it.
If I'm inside of it, different story.
Edit: one exception to the outside scenario would be if I had someone inside the car. That would certainly make a difference!
The gas cap on my wife's car is on the passenger side. I hate that. I don't like being on the opposite side from the driver's door. The simple solution is to lock it, though.