I reckon it is infinitely riskier to be caught attempting to break into a car than it is to just walk in to a service garage and pretending you own the Vdub in the parking lot. There is still a bit of deniability in the 2nd option but good luck explaining to the police why you are using a set of tools specifically for picking vehicle locks (because you can't just use regular pick and tension wrenches) to break into a vehicle that you don't own.