I used do this, especially in the winter. Im not saying its the smartest thing, but I dont assume that my car is going to get stolen if I leave it running out in the burbs either. I lock it now because I dont want anyone to steal my radar detector or anything else i keep in the car.
ZSP, ZPP, heated seats, nav
-2002 325i/2007 335i Turbo tuned/2004 A4 1.8T GIAC