I drove a Z3 roadster for 10 days a few months ago while the owner was out of town. I would always lock it regardless of top up or down. If I just was making a quick run into Starbucks or somewhere, the top would stay down.

When I had it parked at school or a friend's house, I'd put it up, just for the sake of the extra security and protection from the elements. Besides, what's 20-some seconds between friends?