The only times I let my truck warm up is when it's under 20* F or there's heavy frost on the windshield, and then I only let it go just long enough to start getting heat. And it's always locked (I also love the keypad!). But I live and work in the country, where theft is unlikely. Most of my co-workers let their vehicles warm up for as long as 15-20 minutes, which I think is a huge waste of gas.
NJ EPA rules make it illegal to leave your vehicle running & unattended while your in a store, etc. Most convenience stores have warning signs to that effect at or near their entrances.