Writing it down in the car isn't a bad idea, but it won't keep the radio from being stolen. There's a fairly good supply of these radios on ebay and such, the majority being legal of course, but some undoubtedly purloined.
Instead of writing the code down normally, write it down in reverse - R to L, (for example code 1374 write down as 4731). It won't keep your radio from being stolen, but at least you'll frustrate the hell out of the Bad guy.
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