My local rifle range is pretty well regulated. That being said, there are always idiots around somewhere.
I will not live in fear of what "might" happen. But still, you need to be observant of what's going on around you. If you have a spotting scope, you don't have to walk out to check your targets. Just shoot. When you go out to take them down, place your firearms in the vehicle first, or at least turn around and see what's going on behind you a time or two. If someone REALLY wants to steal something, most of the time you will not stop them. Stealing rifles at a range, though it happens, is a pretty infrequent occurrence.
Even more so, shoot with a buddy or relative. That way one of you will always be with the rifles to keep an eye on them.