In short, make you house more difficult and less desirable to break into than your neighbors.
Physical security is best. Bars on doors/windows. Locked fence. Etc.
Then at least alarm stickers all over the place. This will discourage them. Get stickers/signs here...
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Cameras (along with signs) even if not connected can get them to go elsewhere.
If you do the above and they still break in (very bad areas), then get high security locks (Medico), an alarm system, and/or real cameras with 24 hour recording. Alarms in yellow pages (security), cameras and recorders here...
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