This feature already exists. Refer to the user manual (cd) that the unit came with, there are instructions on setting a password that must be entered if power is disconnected from the unit. Unfortunately one who steals the headunit probably will not know that it's password protected until it has already been stolen.
Another solution is to open up your dash, bolt a piece of backstrapping (or any piece of metal) to the radio, and also to a sturdy part of the sub dash. It will be very hard to remove the unit without knowing where to unbolt this piece. This has saved my old AVIC-D3 before.
