Lock it or loose it is the rule. This is especially true in the Bahamas or elsewhere in the Caribbean. Take one look at the dinghy dock where you cruise and you will see what others are using. Remember to also lock your motor to the transom by something other than a padlock through the handles of the screws holding the motor on. A number of good dinghy lock devices are sold, Master Lock has one for about $25 but the bar portion only lasts a year or two in salt water.
As to locking the dinghy, cable or chain. Make sure you check with your insurance, some companies will not cover a dinghy that is not locked when stolen.