I have run the Alpine 7892, which is the non-mp3 companion to the 7995, in my 87 XJ for about a year. I also have the Alpine XM tuner and a Terk glass mount antenna. I mounted the tuner on the passanger's side of the cargo area, in the indentation. There's actually room on mine to mount it on the back of that panel, completely out of sight, but I left mine on the front so I could access the fuse if necessary. The antenna is mounted on the passanger's side rear window and it gives me good reception in all directions. I ran the Ai-net cables under the carpet to the dash, and it makes for a very clean installation that I think has been worth the investment. I've been able to take road trips and not had to search for listenable signals.
As far as theft, remember that a stolen XM receiver is really worthless because they each have a unique ID and can be deactivated once they are reported stolen. Of course you still have to protect the head unit but if you are looking at this kind of investment then a basic security system should be on your mind too.