In my own experience, stealing art didn't happen much. But my experience with art was not on the master level.
A small painting was taken from a gallery near us, and it was my business partner who chased the guy (very quick call). He got away, and soon the painting was notched at a local pawn shop, and, if I remember, the thief nabbed.
The recent theft in San Francisco by an apparent thief with taste caught my attention -
the latest on it -
http://www.sfgate.com/cgi-bin/article.cgi?f=/c/a/2011/07/09/BA151K8B98.DTL
The earlier article more informative. Sorry, no link.
An earlier article described how the art was set up with countervailing hooks.
The gallery (at least in the other article) was said to be reworking the security aspects.
So, I am wondering, what do you do to not have your precious painting stolen?