How many do you own? You can get a small rifle safe for pretty cheap, mine could probably hold 4 guitars when carefully placed (assuming they aren't acoustic or hollowbodies).
Other than that, take some party poppers, a roll of duck tape, painting tarps, and iodine. Make yourself a thief marker.
Step 1: Remove confetti, seal the bottom inside so the iodine can't get to the charge with duck tape, pour some iodine soaked paper towel strips in there, and seal it lightly.
Step 2: Tie the fishing string to the pull string on the popper, and tape popper down very secure on the wall at door knob level, then tie the string to door knob. Do this AFTER you are outside with what you need to leave, and the painting tarps are set up to keep the inevitable mess at bay.
If it works right, you'll notice iodine stains on his hands if he breaks in. Or if you can find iodine, you can mix up some nasty grape+blueberry (for dark color) coolaid with WAY less water than normal so it's a syrup consistency. That stuff stains real good.
