I don't tend to worry unless I'm staying in a high traffic area where there is potential of dayhikers who are not "hikers", ie tourists. Hikers are generally good folks who recognize they are endangering a backpacker's life by walking off with gear; people who drive up to Yosemite to sightsee aren't necessarily in the same category, and I've heard of tents being taken from the campground in Little Yosemite Valley (this is the most impacted camping other than car campgrounds, being on the way to Half Dome, the mist trail being the most hiked trail in the park). I am proportionally less concerned the further I get into the backcountry.
In the park, I have broken down the hammock and quilts and stashed them in a friend's tent, simply because of the attention an unusual shelter draws – don't want someone to notice the underquilt is down and easily fits into a daypack.
In car campgrounds in national parks, I'll put the hammock/tarp in the car, not because of theft but because rangers tend to get up in arms due to me hanging it "not in an approved tent site." Doesn't matter that I thoughtfully left the flat spot for my friends with the tent, or that I'm tied off to boulders and trees and not impacting the ground in any way.