Locking them away after use. Never lend them out, never leave them unattended.
As for bigger tools like bench meters, bolt them down
I use a pink usb cable at work to charge my phone...I've been asked if I have an identity crisis but the cable never disappears.
But in my experience, if you have to go around and search other peoples toolboxes or the downstairs lab, heat shrink etc does not cut it. Use engraving tools (dremel if you must) to write some letters, use this anti-theft paint that can't be removed or physically damage plastic parts etc. At least you will be able to find (and be able tp prove) that the tools don't belong there.
And in reality, it won't stop the tools from walking away anyway. It's a matter of ethics, just like there's always that someone who doesn't know what a toilet brush is used for.
If you don't own the tool you can't claim it (who paid for it? why do you bring your own tools?) It's unbelievable how damaging this is for work relationships.
Even when I had to explain my boss that yes, it is a big deal if I have to go for half an hour to gather the tools I need to do a 10 min thing.
It's not worth the trouble. If it isn't a company rule already, be very careful with what you try to accomplish.