I use the Milenco Compact Wheel Clamp, and also the Winterhoff Robstop hitch lock (which I think is only compatible with Winterhoff stabiliser hitches).
Wheel lock
Hitch lock
I bought the hitch lock when I got the caravan, so about 12 years ago - the wheel lock was added about 5 years ago, when its predecessor (which had been my Dad's before mine, so was about 20 years old) was finally too tatty for me to trust.
The hitch lock is a bit of a faff to fit, the two parts have to be perfectly lined up before the lock will engage: The wheel lock is no trouble at all and goes on without a problem.
I'm pretty sure the wheel lock is accepted for a discount by Caravan and Motorhome Club Insurance because I think that's why I chose that one, but as the Prof has said, check your own insurer to be certain. The hitch lock I didn't have much choice over, it's the one that's compatible with the hitch and I got a good deal on it because I bought it at the same time as the hitch and the caravan!
I also bought a lock for the corner steady wind down (can't remember which make), but gave up on it fairly quickly as although the lock itself was robust, it relied on a pretty flimsy allen bolt to hold it to the wind-down.
Hope this helps - the only thing to add is a reminder that if someone really is determined to steal your caravan, they're going to steal it - all you can really do with security is make your caravan a harder / less attractive proposition than someone else's. I'm on a CASSOA Silver storage site where there are much nicer caravans than mine, and with the two security devices I've described I'm pretty sure I've done all I reasonably can.