Sails should be stored in a dry cool place.
You wouldn't think someone would be low enough as to steal sails, but I know of one instance where a car was broken into just for the two sail bags in the front seat.
Larger boats may get by with leaving sails attached to the boat under canvas. They can do this because they are so large the engine is required to get out of the marina or mooring field (unless someone is really skilled). Even so, it is a risk.
Bottom line, take everything that may be of value that isn't welded in place...sails especially!
Skipper, J/36 "Zero Tolerance"