I have used the “club” on steering wheel since my days in Chicago in mid-1960’s and never had any car stolen. But I only buy bottom of line GM cars, which car thieves do not relish.
Steering wheels are easy to cut. For a similar device that is a bit more secure there is one that locks the brake pedal. I think it’s made by the same manufacturer that makes the club.
Of course with thieves the main idea is to make it just difficult enough to steal your car that they’ll move on to easier targets.
My condolences for having to drive GM vehicles.