I'd never thought about the possibility of someone swiping my lenses, but I can see the potential is certainly there. Hadn't thought of using screws to secure them into place, either, but that's a pretty darned good idea, actually - something to fix that annoying thing where both my lenses bow out away from the housing in the middle. I would recommend going one step further in using screws, however, and get some of those theft-resistant license plate screws (basically an Allen head screw with a pin in the center) to make it just a tad harder for 'em to take off.
I've got both my cars' license plates covered, framed, and locked down pretty good with anti-theft screws, metal frames, and shatterproof clear covers, because a bunch of cheap punks around here have been stealing plates and/or registration stickers from plates. Too cheap and lazy to register their own cars, I guess.
Also, if you've got a pin-on hood, or a bolt-on that relies upon hood pins to keep it shut, you might want to look into adding a set of those locking pins. I know they don't work as the primary means of securing the hood - someone mentioned that they can somehow come open and your hood might fly open at highway speeds - but it'd sure make it darned inconvenient for someone to get at whatever you've got under your hood. I pity the fools who have old-school Camaros that have the hood latch release on the front of the car - any chump can walk by at random, pop your hood, and get at whatever you've got in there without the slightest bit of effort.
I'm all in favor of Hammurabi's Law being reinstated: you steal someonething, you get a hand cut off.