Get a carry on you can lock closed.

I wouldn't worry too much about them stealing the bag, they can't go very far, but if it's locked it would make it harder for them to get anything out of it.

I wouldn't go the alarm route, you know it's going to keep going off when you don't want it to and somebody will freak out.

Not sure a cable lock would help all the time, there may or may not be a place to attach it to.