When I had a caravan I used one of these
http://www.jsbhublock.co.uk/ At the time it was claimed that no-one had lost a caravan fitten with one of these as they resist angle grinders and oxy acetylene removal attempts
I thought about something along these lines and am still tempted. The only downside, that I cannot resolve in my head yet, is that it would take me several minutes to put the wheels back on (2 would be required on our 2 axle trailer). The reason that this is an issue is the time 3 years ago when we had to rush a poorly horse to the vets* and the extra time could have been an issue. He got better but we were told that it was 50/50.
* Vets normally come out to us, but when the horse has Colic, they usually ask for the horse to be taken to the veterinary hospital while the horse is still well enough to stand. That way they then have access to the full facilities. Left too long and transport become impossible without specialist kit which would take too long to reach us.