In practice, there is not a problem in most places in the US. Some places elsewhere seem to have problems, but that's based on reports from others, not my experience.
The dinghy is easiest to answer, so let me hit that first. First, don't have the most expensive, nicest looking dinghy in the fleet -- if there ARE crooks around, you want them to go to the other dinghy, not yours. (Texans will recognize this as the approach used for fire ants, as well.) One friend really roughed up and sloppily repainted his motor, so it would look both less appealing and more easily recognizable. But he travelled mostly in the Caribbean, where the problem is more prevalent.
Most places, we just tie the dinghy to the dock and let it stay at that. Frequently, these are in very visible places and there are dozens of other dinghies there. Also, these are often in pretty well-to-do neighborhoods, being waterfront and all.
In areas where we have any qualms, based on our own feelings or reports of others, we padlock a long cable, usually one made to secure bicycles, to something. These are usually places that are basically safe, but out of view and therefore offer opportunities to mess with the dinghies without observation. They are also away from the more affluent areas, usually at the base of a bridge or the like. We've never had a problem and don't know anyone who reports having a problem, but we take that precaution.
The boat itself is less a problem, certainly in the waters we travel. When we are going from place to place and stop just overnight by ourselves, we anchor away from the shore of the bay, and seldom take the trouble to launch the dinghy to go ashore. Since the boat is obviously occupied and difficult to reach without being awfully obvious about it, especially if it's one of those rare times when we're the only anchored boat in sight. These spots are usually in the middle of absolutely nowhere -- like up side creeks when coming through Georgia -- and it is very rare to see any human in these areas, except other boaters.
Much more likely, we're anchored among anywhere from 3 to 10 other boats -- we all tend to gravitate towards the good anchoring spots, and besides, cruising aboard is a highly social activity! It's pretty common to know, at least casually, some of the other boaters you encounter at these anchorages, and to get acquainted then if you don't know them. Given that situation, if you dinghy ashore for groceries or whatever, there are quite a few others keeping a casual eye on your boat.
More importantly, in the eyes of people who might want to mess with your boat, it certainly will SEEM that way.
And again, from the crook's perspective, it is awfully obvious to take a quarter-mile boat ride to a boat that doesn't belong to you, not knowing if anyone is aboard or who is watching.
Having said all that, probably half or a bit more people will lock their boat when they go ashore. (About as secure as locking the screen door on your porch, for most of the boats we see cruising!)
We seldom lock the door whenashore, and in fact usually leave it latched open if no rain is expected, for several reasons. First, we have a dog who we want to be able to get what limited exercise he can get on deck. (He's a lousy watchdog, but would a crook know that, seeing the big Yellow Lab from a distance?) Second, if somone DID decide to break in, the cost to repair the damaged door would likely exceed the cost to replace anything they might steal -- we just don't keep that much expensive stuff on board (and we hide what there is).
Most importantly, I expect that if someone DOES come aboard when we are away, chances are 9 out of 10 that it's because they noticed our bilge pump running constantly, and they were coming aboard to see if they could keep the boat from sinking!
OK, long answer to a short question. I probably should have just said, "not much of a problem"!
Dory36
