At Northstar a few seasons ago I heard about some thefts from some instructors I had been hanging out with, but I've never actually bothered to lock my gear up. As for a locker vs. the car, I just don't bother, everything I need for the day I carry with me. That is the purpose of pockets! A couple of power bars (or whatever your energy snack of choice is) is about all I need to get through a full day of skiing, assuming I have a good breakfast. I generally don't change layers, I dress warm enough in the morning and live with it in the afternoon. If I need to cool off my jacket, pants and helmet have vents I can open up.
I guess it's probably not great to hoof it from the car to the resort in ski-boots, but I just live with it, I also tend to only use one ski for the day.