Gun? Won't help if you aren't home.
Mean ass dog or home security and locks that work? Much more effective deterrent
The dog doesn't have to be mean although it helps is they thief is persistent. The dog just needs to look the part. I have a Siberian husky and he is the biggest sissy of a dog ever but he's big and people are scared of him. All he wants is some loving and when people walk by my fence and he's out they walk down the far side of the ally. An intimidating looking dog will startle and deter a lot of potential thieves.
Great to hear your getting your stuff back!