Step 5: Use Your Mac's Remote and Motion Sensor!
This only protects your computer if you're within range to stop the theft before it gets started. The utility I'm using is called TheftSensor. With this utility, you can activate it by pressing the play button on your remote. Once activated, it sets off an alarm if the computer is moved or closed. See the video of it in action.
As joejoerowley pointed out; There is also the utility iAlertU by Slapping Turtle. This utility does the same thing as TheftSensor, but has the added features of a visible alarm and reaction to keypresses and power cord removal. See the attached video here:
Note: To prevent the use of another remote to disable this utility, pair your remote with your Mac by pressing and holding the Play/Pause and Menu buttons simultaneously for about 4 or 5 seconds.