If the weather is nice (not too hot or cold), I will run into the store and leave one of my dogs in there if they are with me.
I live in a very small town, very country, never had a "dognapping" here, and I dont even remember ever hearing of anyone getting a car broken into or stolen either. I could probably have all 5 dogs with me, car running and unlocked, and I MIGHT come back to a couple of old people sitting in my car petting my dogs
I would never take them down to the big city though, I dont really have a reason to.
The more I read about cityfolk, the more I appreciate where I live.