EFI guys, any options for theft protection?

Like Subcon said, the Megasquirt can do table switching via an external switch. Think of it like red key / black key on a modern Hellcat or valet mode. You could have one table be zero fuel so any would-be thief wouldn't flood your engine while trying to start it at least. A valet mode with just heavily reduced fueling could also work, but honestly I think that could do more harm than good. Better to just fully cut it and not even give them a chance. It would be effectively the same as pulling the fuel pump/fuel injector fuses, just via switch so you don't have to mess with a fuse every time you want to drive it.

What would be interesting, and maybe possible, would be to link the table switch to a CAN input. The Megasquirt supports CAN communication, so I bet you could probably get a keyfob style module that outputs a CAN signal that is your table switch activator. Then your "default" table would be the zeroed out one and when the module detects a keyfob it would switch over to the real table. The trick would be finding a module though. I have a feeling that might almost need to be a semi custom affair as it would have to talk via the CAN protocol the Megasquirt supports, so it may take some custom coding in the Megasquirt to work as well. That is one of the novel things about the MS though. You can pretty much do anything you want if you know how to write custom code for it.