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Sorry to hear of that - its very frustrating indeed.
I tried a type where there is an allen-type key which locks the dustcap into place, but I found the road dirt made it more difficult to undo, so stopped using them in case they stuck on.
The worry of course is with the rubber valves, is that they cut through them, and remove the dustcaps at their leisure... leaving you with flat tyres to fix.
I think a small amount of superglue would work on metal valves (putting a small amount on the valve thread only, not on the dustcap) then screw into place. It would mean a pair of pliers would be needed to periodically check the tyres, but it would mean that the opportunist would move on to someone else...
Its up to you if you think this degree of hassle is worth it.
Hope that helps a bit.
This job should never be complete - the day I think I've done it all, is the day I resign.
Currently in VelSatisfied's garage:
2005 FIAT Ducato 2.8JTD LWB Gran Volume, 2000 Kawasaki ZZR 1100 D7 'fullpower' in black + full GIVI & KAPPA luggage, 2007 MB R-Class 320 CDi Sport LWB uprated by Brabus to 300Bhp don't know if there's a 155mph limiter - will be fun finding out! 2004 Mercedes Vaneo 1.7 CDi Ambiente 7-seater