From what I know, (pretty little) the Toyota Unser, Toyota Harrier and the Mitsubishi Stormtrooper are the hottest targets for car thieves in Malaysia... Generally they don't often go for Mazdas...and some of them reportedly have towing trucks that can jack the 4 wheels off the ground and just drive off with it, wheel lock, engine immobilizer or not. But I'm not sure about the tow trucks bit.
Just try and park it in real crowded areas with high human traffic. Malls are not that wonderful. Alternatively if you have relatives, park your Mazda in their house and try to take out their Protons if they have one. This is what I always do.
Just my two cents worth

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