Doing what John said will protect it against theft because you get your money back.
If you want to keep a record of it so the police can give it to pawn shops/have it recorded, get all the serial numbers you can. (Off the RAM, Motherboard, PSU, everything.)
Take photos of it from multiple angles. Print them off, keep a copy on your computer to update it, and email it to yourself, or put it in a cloud storage service like Google Drive.
Get
Prey. If they can get into your computer (They can easy, don't worry about it.) and you reported it on that website as stolen, it'll track everything about the computer. The program runs in the background silently. You can record keystrokes, turn on the webcam (not applicable here since it's a desktop) and locate it based on where they connect to the internet.
Lastly, try to connect some kind of chain/bike lock to it. For an old case, I would loop it around the watercooling holes and attach it to my desk. Try maybe taking some of the PCI expansion slots out and looping a chain in there, and then attaching it to something that can't move or something really big. This won't protect it completely, but it'll slow them down.
