If I'm on a boat, I leave it in my dive bag aboard the boat.
If I'm beach diving and figure it is unlikely my car will be broken into (i.e. not Hawaii), I leave it hidden in the car and tether the key to my BCD.
I've never had the opportunity to leave it at the LDS.
There is, however, one location where I dive that we have to reach by boat and then set up in a parking lot from which we dive. I use a push cart to move my gear. I use a cable lock to lock my bag to the cart and do it in such a way as to make it hard to get the bag onto the cart. This makes it hard to steal the whole thing. There are lockers nearby and I put my wallet there. They are not terribly secure, but there are usually enough divers around that if the see someone breaking into the locker (or see a landlubber messing with a scuba bag), they will intervene. I'll admit that this location worries me, but I've never had a problem.