Protecting bike attachments such as lights against theft
Take the lights and anything else thats likely to be stolen off your bike. 

For things that can't be removed easily, you may want to use something like Pitlock security skewers (or security bolts) or glue in ball bearings or similar into the head of the bolts (which will make them hard to remove when you need to remove them, but a casual thief can't remove them easily). Also, make sure you know how to properly lock up your bike (which has been discussed at length in other places on this SE).