IMHO, A steering lock must be highly "VISIBLE". Potential burglar must be able to see it from far. This will be your first line of defense. I like the
STOPLOCK brand of steering locks. They are bright Yellow and it covers the steering lock nut for extra protection. The only down side is their size... Big and heavy...
... expensive too...
In Malaysia they are sold in supermarkets, Tesco and most auto acc shop.
Hope this helps.