This thread got me thinking of a somewhat similar idea:
1. buy some cheap and very small bluetooth device + bluetooth USB dongle (if the laptop doesn't have internal bluetooth). Keep it in you pocket while using the laptop.
2. write a short autohotkey script with a timer that checks if the bluetooth device is connected every N seconds. If the connection breaks, for example if someone runs away with the laptop, then the script shuts/locks down the system (with/without warning).